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pz-stepsutake · 2020年01月12日

问一道题:NO.PZ2016070202000005

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

1 个答案

品职答疑小助手雍 · 2020年01月13日

同学你好, 这边的VaR是算daily VaR,然后再利用平方根法则转换成10天的VaR用来最终计算市场风险的RWA。最开始计算VaR时,是计算的daily VaR。

所以也才有了讲义后面的那句话。

这部分主要还是记回测的方法,至于这些要求,后面巴塞尔协议的课专门会系统讲到~

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