开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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
已采纳答案

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

  • 2

    回答
  • 0

    关注
  • 531

    浏览
相关问题

NO.PZ2018122701000036 问题如下 Baseon Basel II rules for backtesting, a penalty is given to banks thhave more thfour exceptions to their 1-y 99%Vover the course of 250 trang ys. The supervisor gives these penalties baseon four criteriWhiof the following causes of exceptions is most likely to leto a penalty? The bank increases its intray trang activity. A large move in interest rates wcombined with a small move in correlations. The bank’s mol calculates interest rate risk baseon the meration of the bon in the portfolio. A suen market crisis in emerging market lea to losses in the equity positions in thcountry. C is correct. 考点 : Backtesting V 解析 : In the case of a bank thchangepositions more frequently ring the y, a penalty shoulconsire but it is not necessarily given. In the case of bluck, no penalty is given, woulbe the case for a bank affecteunprectable movements in rates or markets. However, when risk mols are not precise enough, a penalty is typically given sinmol accuracoulhave easily been improve 如题

2024-03-05 03:07 1 · 回答

NO.PZ2018122701000036 问题如下 Baseon Basel II rules for backtesting, a penalty is given to banks thhave more thfour exceptions to their 1-y 99%Vover the course of 250 trang ys. The supervisor gives these penalties baseon four criteriWhiof the following causes of exceptions is most likely to leto a penalty? The bank increases its intray trang activity. A large move in interest rates wcombined with a small move in correlations. The bank’s mol calculates interest rate risk baseon the meration of the bon in the portfolio. A suen market crisis in emerging market lea to losses in the equity positions in thcountry. C is correct. 考点 : Backtesting V 解析 : In the case of a bank thchangepositions more frequently ring the y, a penalty shoulconsire but it is not necessarily given. In the case of bluck, no penalty is given, woulbe the case for a bank affecteunprectable movements in rates or markets. However, when risk mols are not precise enough, a penalty is typically given sinmol accuracoulhave easily been improve 请问B如何理解

2023-08-07 21:08 1 · 回答

NO.PZ2018122701000036问题如下 Baseon Basel II rules for backtesting, a penalty is given to banks thhave more thfour exceptions to their 1-y 99%Vover the course of 250 trang ys. The supervisor gives these penalties baseon four criteriWhiof the following causes of exceptions is most likely to leto a penalty? The bank increases its intray trang activity. A large move in interest rates wcombined with a small move in correlations. The bank’s mol calculates interest rate risk baseon the meration of the bon in the portfolio. A suen market crisis in emerging market lea to losses in the equity positions in thcountry. C is correct. 考点 : Backtesting V 解析 : In the case of a bank thchangepositions more frequently ring the y, a penalty shoulconsire but it is not necessarily given. In the case of bluck, no penalty is given, woulbe the case for a bank affecteunprectable movements in rates or markets. However, when risk mols are not precise enough, a penalty is typically given sinmol accuracoulhave easily been improve 什么时候会有惩罚,哪些情况

2023-07-06 16:46 1 · 回答

NO.PZ2018122701000036 问题如下 Baseon Basel II rules for backtesting, a penalty is given to banks thhave more thfour exceptions to their 1-y 99%Vover the course of 250 trang ys. The supervisor gives these penalties baseon four criteriWhiof the following causes of exceptions is most likely to leto a penalty? The bank increases its intray trang activity. A large move in interest rates wcombined with a small move in correlations. The bank’s mol calculates interest rate risk baseon the meration of the bon in the portfolio. A suen market crisis in emerging market lea to losses in the equity positions in thcountry. C is correct. 考点 : Backtesting V 解析 : In the case of a bank thchangepositions more frequently ring the y, a penalty shoulconsire but it is not necessarily given. In the case of bluck, no penalty is given, woulbe the case for a bank affecteunprectable movements in rates or markets. However, when risk mols are not precise enough, a penalty is typically given sinmol accuracoulhave easily been improve 老师里面的meration of the bon是什么意思?

2023-06-30 22:32 1 · 回答

NO.PZ2018122701000036 问题如下 Baseon Basel II rules for backtesting, a penalty is given to banks thhave more thfour exceptions to their 1-y 99%Vover the course of 250 trang ys. The supervisor gives these penalties baseon four criteriWhiof the following causes of exceptions is most likely to leto a penalty? The bank increases its intray trang activity. A large move in interest rates wcombined with a small move in correlations. The bank’s mol calculates interest rate risk baseon the meration of the bon in the portfolio. A suen market crisis in emerging market lea to losses in the equity positions in thcountry. C is correct. 考点 : Backtesting V 解析 : In the case of a bank thchangepositions more frequently ring the y, a penalty shoulconsire but it is not necessarily given. In the case of bluck, no penalty is given, woulbe the case for a bank affecteunprectable movements in rates or markets. However, when risk mols are not precise enough, a penalty is typically given sinmol accuracoulhave easily been improve 不用meum应该用什么

2022-12-25 17:09 1 · 回答