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According to the Basel backtesting framework guidelines, penalties start to apply if there are five or more exceptions during the previous year. The Type I error rate of this test is 11 percent. If the true coverage is 97 percent of exceptions instead of the required 99 percent, the power of the test is 87 percent. This implies that there is a (an):

A) 89% probability regulators will reject the correct model.

B) 11% probability regulators will reject the incorrect model.

C) 87% probability regulators will not reject the correct model.

D) 13% probability regulators will not reject the incorrect model.

答案：D

解析:The power of the test refers to the probability of rejecting an incorrect model, which is one minus the probability of not rejecting an incorrect model (a type 2 error).

Given that the power of the test is 87 percent, the probability of a type 2 error, the probability of not rejecting the incorrect model is 1.0 - 0.87 = 13%.

Under the amendment to theAmendment to the CapitalAccord to Incorporate Market Risks, value at risk:

A) Must be calculated using a 99th percentile one tailed confidence interval and a 10-day holding period.

B) Must be calculated using a 99th percentile one tailed confidence interval, but may use a shorter holding period and a square root of time scaling.扫码预约

C) May use any percentile (e.g., 95th as used in RiskMetrics) scale to the 99th percentile using normal distribution assumptions, may use a shorter or longer holding period than 10-days, and scale using the square root of time.

D) May use any percentile or holding period as long as backtesting results are satisfactory.

答案：B

解析:TheAmendment allows the use of an internal model (under certain circumstances) and specifies that the model use a 99 percent confidence level and a 10-day holding period. It does allow a single-day volatility to be scaled to 10-day volatility with the square root of time rule.

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