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Eve · 2021年04月29日

问一道题:NO.PZ2018122701000035 [ FRM II ]

问题如下:

You are backtesting a bank’s VaR model. Currently, the bank calculates a 1-day VaR at the 99% confidence level, and you are recommending that is switch to a 95% confidence level. Which of the following statements concerning this switch is correct?

选项:

A.

The 95% VaR model is less likely to be rejected using backtesting than the 99% VaR model.

B.

When validating with backtesting at the 90% confidence level, there is a smaller probability of incorrectly rejecting a 95% VaR model when it is valid than a 99% VaR model.

C.

The decision to accept or reject a VaR model based on backtesting results is more reliable with a 95% confidence level VaR model than with a 99% confidence level model.

D.

When backtesting using a 90% confidence level, there is a smaller probability of committing a type I error when backtesting a 95% VaR model than with a 99% VaR model.

解释:

C is correct.

考点 Backtesting VaR

解析 The concept tested here is the understanding of the difference between the VaR parameter for confidence (here, namely 95% vs 99%) and the validation procedure confidence level, and how they interact with one another. Using a VaR confidence level creates a narrower rejection region by allowing a greater number of exceptions to be generated. This in turn increases the power of the backtesting process and makes for a more reliable test.


我已经看了经典题1.4 视频。

我的问题是从 99%var 转到 95% var, 因为x的observations 增多,导致模型会更准确,那不就是会有更小的概率犯 type I 和 type II error吗?D 选项为什么是错的呢?

1 个答案

袁园_品职助教 · 2021年05月01日

同学你好!

Type I error 只跟 backtesting 的 confidence level 有关

When backtesting using a 90% confidence level, Type I error = 1-90% = 10%

luqibz · 2021年10月19日

请问 增加X,不是也会减低 type I error的概率吗?

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