NO.PZ2016070202000002
问题如下：
A large, international bank has a trading book whose size depends on the opportunities perceived by its traders. The market risk manager estimates the one-day VAR, at the 95% confidence level, to be USD 50 million. You are asked to evaluate how good a job the manager is doing in estimating the one-day VAR. Which of the following would be the most convincing evidence that the manager is doing a poor job, assuming that losses are identical and independently distributed (i.i.d.)?
选项：
A.Over the past 250 days, there are eight exceptions.
B.Over the past 250 days, the largest loss is USD 500 million.
C.Over the past 250 days, the mean loss is USD 60 million.
D.Over the past 250 days, there is no exception.
解释：
D is correct. We should expect exceptions on average. Having eight exceptions is too few, but the difference could be due to luck. Having zero exceptions, however, would be very unusual, with a probability of 95%250, which is very low. This means that the risk manager is providing VAR estimates that are much too high. Otherwise, the largest or mean losses are not directly useful without more information on the distribution of profits.
如果说mean值超过了60m 那var值是50m 肯定是说明var低估了呀 那这个模型就不准确了呀
