问题如下:
There are six quantitative validation processes. Which of the six validation processes faces the limitation that in a validation procees, one model can only be compared to another, and its ability to reflect real facts is weak?
选项:
A.Model replication.
B.Benchmarking.
C.Profit and loss attribution
D.Validation of inputs and parameters.
解释:
B is correct.
考点:Benchmarking and Hypothetical Portfolio Testing
解析:本题考查定性结论,B选项就是Benchmarking and Hypothetical Portfolio Testing所面临的限制。其他选项都不符合。
Model replication:在相同假设下,在写一个程序,看看结果一不一样,主要是检查代码错误问题
Benchmarking:是不是比如用蒙特卡洛和二叉树对债券估值,看看模型是不是算的太离谱
backtesting:就是对现实进行检验,看看预测和真实的值是否一致?