描述III

问题如下：

Tycoon Bank announced that there were eight days in the previous year for which losses exceeded the daily 99% VAR. As a result, concerns emerged about the accuracy of the VAR implementation. Assuming that there are 250 days in the year, which of the following statements is/are correct?

I. Using a two-tailed 99% confidence level z-score test, the current VAR implementation understates the actual risk in the bank's portfolio.

II. Using a two-tailed 99% confidence level z-score test, the current VAR implementation overstates the actual risk in the bank's portfolio.

III. The bank's exception rates for VAR may be inaccurate if the bank's portfolio changes incorporate the returns from low-risk but highly profitable intraday market making activities.

IV. If these eight exceptions all happened in the previous month, the model should be reexamined for faulty assumptions and invalid parameters.

选项：

A.

I and III

B.

I, III, and IV

C.

Ill only

D.

I, II, and IV

解释：

1. The z-score gives $\frac{8-2.5}{\sqrt{250\times0.01\times0.99}}=3.5$ This is too high (greater than 2.58), which leads to rejection of the null that the VAR model is well calibrated. Hence, VAR is too low and statement I. is correct. Statement II. is incorrect. However, this may be due to intraday trading, so III. is correct, too. Finally, if all eight exceptions occurred in the last month, there is bunching, and the model should be reexamined, so IV. is correct.