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Which of the following two model errors in the RMBS valuation and risk models are considered to have contributed the most to a significant underestimation of systematic risk in subprime RMBS returns during 2008-2009?

A) The assumption of future house price appreciation and the assumption of high correlations among regional housing markets.

B) The assumption of future house price declines and the assumption of high correlations among regional housing markets.

C) The assumption of future house price appreciation and the assumption of low correlations among regional housing markets.

D) The assumption of future house price declines and the assumption of low correlations among regional housing markets.

答案：C

解析：The two model errors considered to have contributed the most to a significant underestimation of systematic risk were (1) the assumption of future house price appreciation, and (2) the assumption of low correlations among regional housing markets.

The risk management group estimates the 1-day 99% VaR on a long-only, large-cap equity portfolio using a variety of approaches. Adaily risk report shows the following information: 1-day 99% VaR Estimates (by approach):

Delta-normal VaR: 321,890

Monte Carlo Simulation VaR: 353,851

Historical Simulation VaR: 375,534

Which of the following is the most likely explanation for the variation in VaR estimates?

A) Data problems

B) Differences in model assumptions

C) Endogenous model risk

D) Programming errors

答案：B

解析：VaR measures will vary according to the approach (delta-normal, historical simulation, Monte Carlo simulation). The variation in these values does not suggest bigger problems with data or programming/implementation nor is there any reason to suspect endogenous model risk. (e.g., traders gaming the system to lower risk values).

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