NO.PZ2016072602000059
问题如下:
Which of the following best describes the quantitative parameters of the 1996 internal models approach?
选项: A. Ten-day trading horizon, 99%
confidence interval, minimum one year of data, minimum quarterly updates
B. One-day trading horizon, 95%
confidence interval, five years of data, updated weekly
C. One-day trading horizon, 99%
confidence interval, minimum one year of data, updated monthly
D. Ten-day trading horizon, 97.5%
confidence interval, minimum five years of data, updated daily
解释:
A is correct. The IMA is based on a 10-day horizon, 99% confidence level, one year of data, with at least quarterly updates.
请问这个是计量操作风险的方法么