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Arisk manager is analyzing a 1-day 98% VaR model.Assuming 252 days in a year, what is the maximum number of daily losses exceeding the 1-day 98% VaR that is acceptable in a 1-year backtest to conclude, at a 95% confidence level, that the model is calibrated correctly?

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A) 5

B) 9

C) 10

D) 12

答案：B

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.

Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99%VaR over the course of 250 trading days.

The supervisor gives these penalties based on four criteria. Which of the following causes of exceptions is most likely to lead to a penalty?

A) The bank increases its intraday trading activity.掃碼咨詢

B) Alarge move in interest rates was combined with a small move in correlations.

C) The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.

D) Asudden market crisis in an emerging market leads to losses in the equity positions in that country.

答案：C

解析：In the case of a bank that changed positions more frequently during the day, a penalty should be considered, but it is not necessarily given. In the case of bad luck, no penalty is given, as would be the case for a bank affected by unpredictable movements in rates or markets. However, when risk models are not precise enough, a penalty is typically given since model accuracy could have easily been improved.

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