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FRM練習(xí)題考生在備考中不能忽視！

發(fā)布時(shí)間：2022-01-20 09:20編輯：融躍教育FRM

在備考中除了網(wǎng)課的學(xué)習(xí)，練習(xí)題也是很重要的。FRM練習(xí)題考生在備考中不能忽視！下面是列舉的相關(guān)練習(xí)題，希望對(duì)備考的考生有所幫助！

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.掃碼領(lǐng)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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關(guān)鍵詞 ： FRM練習(xí)題
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