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Fractal · 2021年12月02日

internal model

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

1 个答案

品职答疑小助手雍 · 2021年12月02日

同学你好, 这个是计量市场风险的方法,99%的10-day var。