问题如下:
The Basel Committee requires backtesting of actual losses to VaR calculations. How many exceptions would need to occur in a 250-day trading period for the capital multiplier to increase from three to four?
选项:
A. two to five
B. five to seven
C. seven to nine
D. ten to more
解释:
D is correct. Ten or more backtesting violations require the institution to use a capital multiplier of four.
看了解析也没懂咋算的