问题如下:
Backtesting routinely compares daily profits and losses with model-generated risk measures to gauge the quality and accuracy of their risk measurement systems. The 1996 Market Risk Amendment describes the backtesting framework that is to accompany the internal models capital requirement. This backtesting framework involves
I. The size of outliers
II. The use of risk measure calibrated to a one-day holding period
III. The size of outliers for a risk measure calibrated to a 10-day holding period
IV. Number of outliers
选项:
A.II and III
B.II only
C.I and II
D.II and IV
解释:
D is correct. The backtesting framework in the IMA only counts the number of times a daily exception occurs (i.e., a loss worse than VAR). So, this involves the number of outliers and the daily VAR measure.
请问这道题目给的答案,和讲义P63页,第一行,要求10-day 99% VAR model是啥关系? 如果选daily,那10天99%的VAR是做什么的?
并追加问:这页PPT,第二行,The current Basel verification procedure consitst of recording daily exceprtons to the 99% VAR over the previous year.这句话啥意思?以及这句话跟上面那行10-day 99% VAR是什么关系。谢谢