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:
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
老师这题应该是考模型审查的步骤吧,soundness of model:貌似意思是instruments的价值通过数学模型是合理的表达,这直接拒绝了一个3,接受一个5,哪里体现了合理定价的意思啊,