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十六岁的烟火 · 2020年10月04日

问一道题:NO.PZ2019052001000137 [ FRM II ]

问题如下:

Even though risk managers cannot eliminate model risk,there are many ways managers can protect themselves against model risk. Whichof the following statement about managing model risk is correct?

选项:

A.

Models should be test against known problems.

B.

It is not advisable to estimate model risk usingsimulations.

C.

Complex models are generally preferable to simplemodels.

D.

Small discrepancies in model outputs are alwaysacceptable.

解释:

One way to protect against model risk is to test amodel against known problems. It is always a good idea to check a model againstsimple problems to which one already knows the answer, and many problems can bedistilled to simple special cases that have known answers. If the model failsto give the correct answer to a problem whose solution is already known, thenthis indicates that there is something wrong with it.

老师 C 错在哪里 不是鼓励使用简单模型吗

1 个答案
已采纳答案

小刘_品职助教 · 2020年10月05日

  同学你好,

C选项说的是Complex models更好,所以不选。