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FRM练习题考生在备考中不能忽视!

发布时间:2022-01-20

来源:融跃教育

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在备考中除了网课的学习,练习题也是很重要的。FRM练习题考生在备考中不能忽视!下面是列举的相关练习题,希望对备考的考生有所帮助!

Which of the following statements regarding verification of a VaR model by examining its failure rates is false?

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A) The frequency of exceptions should correspond to the confidence level used for the model.

B) According to Kupiec (1995), we should reject the hypothesis that the model is correct if the LF>3.84.

C) Backtesting VaR models with lower confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.

D) The range for the number of exceptions must strike a balance between the chances of rejecting an accurate model (a Type I error) and the chance of accepting an inaccurate model (a Type II error).

答案:C

解析:Backtesting VaR models with higher confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.

You are backtesting a VaR model. Which of the following statements is (are) correct?

I. The probability of rejecting an accurate VaR model is a Type II error.

II. The probability of accepting an inaccurate model is a Type I error.

A) Both I and II.

B) I only.

C) Neither I nor II.

D) II only.

答案:C

解析:The probability of rejecting an accurate model is a Type I error. The probability of accepting an inaccurate model is a Type II error.扫码领取

AType I error occurs when a risk model is:

A) Accepted when it is accurate.

B) Accepted when it is inaccurate.

C) Rejected when it is accurate.

D) Rejected when it is inaccurate.

答案:C

解析:If a risk model is rejected when it is accurate, a Type I error has occurred. A Type II error occurs when a model is accepted when it is inaccurate.

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