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金融民工阿聪 · 2021年03月31日

关于 calibrated to a one-day holding period

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。

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袁园_品职助教 · 2021年04月01日

没错,是要算10天,但是基准是daily的,所以一般我们说 calibrated to one-day

袁园_品职助教 · 2021年03月31日

同学你好, 这边的VaR是算daily VaR,然后再利用平方根法则转换成10天的VaR用来最终计算市场风险的RWA。最开始计算VaR时,是计算的daily VaR。statement II 就是说我们算的是daily VaR

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