NO.PZ2016070202000005
问题如下:
Backtesting routinely compares daily profits and losses with model-generated risk measures to gauge the quality and accuracy of their risk measurement systems. The 1996 Market Risk Amendment describes the backtesting framework that is to accompany the internal models capital requirement. This backtesting framework involves
I. The size of outliers
II. The use of risk measure calibrated to a one-day holding period
III. The size of outliers for a risk measure calibrated to a 10-day holding period
IV. Number of outliers
选项:
A.II and III
B.II only
C.I and II
D.II and IV
解释:
D is correct. The backtesting framework in the IMA only counts the number of times a daily exception occurs (i.e., a loss worse than VAR). So, this involves the number of outliers and the daily VAR measure.
1. calibrated to a one-day holding period
2. calibrated to a ten-day holding period
我知道10天的VAR是通过daily VAR去推出来的,所以这两种说法感觉第二种更对吧?就是(通过daily)调整成10天期限的VAR。而不是说直接调整成1天期限的VAR。