185****0520
2023-07-29 16:25文中置信水平都是指計算VaR時的置信水平吧
所屬：FRM Part II > Market Risk Measurement and Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Michael助教
2023-07-31 14:29
該回答已被題主采納
學員你好，
Which of the following statements regarding verification of a VaR model by examining its failure rates is false?
I. The frequency of exceptions should correspond to the confidence level used for the model.【VaR模型的】
II. According to Kupiec (1995), we should reject the hypothesis that the model is correct if the LR > 3.84.
III. Backtesting VaR models with lower confidence levels【回測模型的】 is difficult because the number of exceptions is not high enough to provide meaningful information.
IV. The range for the number of exceptions must strike a balance between the chances of rejecting an accurate model (a type 1 error) and the chance of accepting an inaccurate model (a type2 error).
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回復Michael：你在說什么啊
