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2019-09-27 15:58請問用12題的解法，答案是93呢？ X-0.5%*250*10/sqr0.5%*99.5%*250*10=1.96，求出X是93？ 以下是12題的答案解析：The risk manager will reject the hypothesis that the model is correctly calibrated if the number x of losses exceeding the VaR is such that: (x – pT)/sqrt(p(1 – p)T) > 1.96 where p represents the failure rate and is equal to 1 – 98%, or 2%; and T is the number of observations, 252. Then 1.96 = two-tail confidence level quantile → x >1.96 × sqrt(2% × 98% × 252) + p×T = 9.40. So the maximum number of exceedances would be 9 to conclude that the model is calibrated correctly.
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Robin Ma助教
2019-09-27 17:33
該回答已被題主采納
同學(xué)你好，你的計算器按錯了吧，X-0.5%*250*10/sqr0.5%*99.5%*250*10=1.96，你的公式排的是正確的。但是 2500*0.005顯然是12.5，2500*0.005*0.995再開根號也是一個很小的數(shù)字，心算也能看出是一個個位數(shù)，那么X肯定不會很大，十幾二十幾最多了。
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