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金融民工阿聪 · 2021年01月25日

这题为什么B没有错?

问题如下:

Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99%VaR over the course of 250 trading days. The supervisor gives these penalties based on four criteria. Which of the following causes of exceptions is most likely to lead to a penalty?

选项:

A.

The bank increases its intraday trading activity.

B.

A large move in interest rates was combined with a small move in correlations.

C.

The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.

D.

A sudden market crisis in an emerging market leads to losses in the equity positions in that country.

解释:

C is correct.

考点 Backtesting VaR

解析 In the case of a bank that changed positions more frequently during the day, a penalty should be considered, but it is not necessarily given. In the case of bad luck, no penalty is given, as would be the case for a bank affected by unpredictable movements in rates or markets. However, when risk models are not precise enough, a penalty is typically given since model accuracy could have easily been improved.

这里B说的意思是什么,没看懂。。。

2 个答案
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袁园_品职助教 · 2021年01月27日

选项B说的考虑很大的利率变化又考虑很少的相关性,这样会高估市场风险,相当于更保守的处理了,所以不会被处罚。

袁园_品职助教 · 2021年01月27日

MOVE 的意思不是考虑啊,是变动,可以理解为change

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