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410140980 · 2022年03月20日

capital multiple对于VaR的影响?

NO.PZ2020033001000089

问题如下:

Backtesting of actual losses to VaR calculations is required according to the Basel Committee. How many exceptions occur in a 250-day trading period would result in increasing the capital multiplier from three to four?

选项:

A.

zero to four

B.

four to seven

C.

seven to nine

D.

ten to more

解释:

D is correct.

考点:Backtesting VaR

解析:

If there is ten or more backtesting violations, capital multiplier need to be increased from three to four.

老师此题怎么理解?capital multiple是什么意思

1 个答案
已采纳答案

品职答疑小助手雍 · 2022年03月21日

同学你好,capital multiple对var没有影响,是对银行自己算的var回测之后,如果银行的var算的太低准备的资本金太少,会要求银行增加资本金。这个也是个重点内容了,也是基础概念,在巴塞尔协议里也会讲到,建议重点看一下基础班backtesting var里的内容,讲义65页左右。

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