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临江仙 · 2021年02月14日

C是什么意思?

NO.PZ2019052001000139

问题如下:

A profitable derivatives trading desk at a bank decides that its existing VaR model, which has been used broadly across the firm for several years, is too conservative. The existing VaR model uses a historical simulation over a three-year look-back period, weighting each day equally. A quantitative analyst in the group quickly develops a new VaR model, which uses the delta normal approach. The new model uses volatilities and correlations estimated over the past four years using the RiskMetrics EWMA method.

For testing purposes, the new model is used in parallel with the existing model for four weeks to estimate the 1-day 95% VaR. After four weeks, the new VaR model has no exceedances despite consistently estimating VaR to be considerably lower than the existing model’s estimates. The analyst argues that the lack of exceedances shows that the new model is unbiased and pressures the bank’s model evaluation team to agree. Following an overnight examination of the new model by one junior analyst instead of the customary evaluation that takes several weeks and involves a senior member of the team, the model evaluation team agrees to accept the new model for use by the desk.

Which of the following statements about the risk management implications of this replacement is correct?

选项:

A.

Delta-normal VaR is more appropriate than historical simulation VaR for assets with non-linear payoffs.

B.

Changing the look-back period and weighting scheme from three years, equally weighted, to four years, exponentially weighted, will understate the risk in the portfolio.

C.

The desk increased its exposure to model risk due to the potential for incorrect calibration and programming errors related to the new model.

D.

A 95% VaR model that generates no exceedances in four weeks is necessarily conservative.

解释:

Given the quick implementation of the new VaR model and the insufficient amount of testing that was done, the desk has increased its exposure to model risk due to the increased potential for incorrect calibration and programming errors. This situation is similar to the JP Morgan London Whale case in 2012, where a new VaR model was very quickly introduced for its Synthetic Credit Portfolio response to increasing losses and multiple exceedances of the earlier VaR model limit in the portfolio.

还有答案的英文,不懂。

1 个答案

品职答疑小助手雍 · 2021年02月18日

嗨,努力学习的PZer你好:


题目第二段最后一句话“Following an overnight examination of the new model by one junior analyst instead of the customary evaluation that takes several weeks and involves a senior member of the team, the model evaluation team agrees to accept the new model for use by the desk.”变相说明了测试的期限其实挺短的,所以解析前面说新模型的测试有点insufficient,引入也比较快速。因为前面说了新模型用了波动率和相关性以及EWMA模型(一级时候学过,这个模型其实也是带有假设的!),所以说对模型的参数假设的校准以及模型错误(测试时间短)可能会导致模型风险的增加。这是选C的原因。

但是这个题最好还是用排除法来做,因为C的这个描述还是有点对单词理解的主观性在里面的,而ABD都有明显的错误。

A 错,因为 delta-normal 的方法更适合 linear

B 错,lock-back period 从三年增加到四年,以及从 给过去每一天相同权重 到 给越近的日期越高的 权重,这两个变化并不能得出 低估风险 这个结论;而实际上计算方法是得到了优化

D 错,4周无 exceedance 并不能必然说明模型保守,因为题目中也说了:新算法其实比旧算法算出来的VaR更低

最后解析的最后借用的是JP摩根伦敦鲸的案例解释了很快换模型会面临模型风险这个事情(JP摩根当时因为当时有损失而且损失总超过var很快的调整了模型。)


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