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Claudia66 · 2020年03月14日

问一道题:NO.PZ2016070201000019

问题如下:

Which of the following statements regarding verification of a VaR model by examining its failure rates is false?

选项:

A.

The frequency of exceptions should correspond to the confidence level used for the model.

B.

According to Kupiec (1995), we should reject the hypothesis that the model is correct if the LR > 3.84.

C.

Backtesting VaR models with lower confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.

D.

The range for the number of exceptions must strike a balance between the chances of rejecting an accurate model (a Type I error) and the chance of accepting an inaccurate model (a Type II error).

解释:

Backtesting VaR models with higher confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.

有没有confidence level的定义,可以解释一下吗,谢谢,alpha和1-alpha的具体那个是confidence level,另一个叫什么,谢谢

1 个答案

小刘_品职助教 · 2020年03月15日

同学你好,

confidence level是指置信水平,其本质是一个概率,表示区间估计的把握程度。如果置信水平比较高的话,那对应的区间估计就会比较大,对于选项C来说,也就是位于区间以外的概率就比较小,可能找不到足够的样本来验证。

1-alpha是confidence level,alpha是significance level。