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IreneZz · 2020年10月04日

问一道题:NO.PZ2019052001000039

问题如下:

Obelisk Bank uses weekly model vetting to mitigate potential model risk. Obelisk's managers recently rejected a model for valuing medium-term forward on three-year corporate bonds, and accepted a model for valuing long-term options on 10-year government bonds. The managers also frequently test proposed analytical models against a simulation approach. Which of the following vetting phases are these model vetting techniques presenting?

选项:

Accepting/rejecting a mode
testing models against simulation
A.
Incorporate model risk into the risk management framework
Health check and stress test
B.
Soundness of a model
Health check and stress test
C.
Health check of the model
Independent access to rates
D.
Soundness of a model
Benchmark modeling

解释:

D is correct.

考点:Mitigating Model Risk

解析:拒绝或者接受模型是审查soundness of the model的内容,风险管理者应该确保资产被模型合理的估值。

基于模拟方法或数值逼近技术测试所提出的分析模型是benchmark modeling

请问Health Check是属于什么呢?

1 个答案
已采纳答案

小刘_品职助教 · 2020年10月04日

同学你好,

Health Check and stress test the model 就是一个单独的阶段,具体的释义可以看一下讲义哈。