【FRM每日一题】二级：案例强化（4）
备考FRM二级 | 2015-10-24
Saugatuck National Bank uses the internal model-based approach to set market risk capital as prescribed by the 1996 Amendment to the 1988 Basel Accord. The bank has backtested its 99%, one-day VaRs against the actual losses over the last 250 trading days. Based on the results of the backtesting, the bank recorded 11 exceptions. Based on these results, the multiplicative factor in the model should be set:A. Less than 3.
B. Equal to 3.
C. Between 3.1 and 3.9.
D. Equal to 4.
Answer: D
Saugatuck National Bank must compare the VaR calculated using its current method for each of the 250 trading days to the actual loss over the same period to determine the multiplicative factor. If the actual loss is greater than the estimated loss, an exception is recorded. If, over the previous 250 days, the number of exceptions is:
l Less than 5, multiplicative factor is usually set equal to three.
l 5,6,7,8, or 9, multiplicative factor is set equal to 3.4, 3.5, 3.65, 3.75, and 3.85, respectively.
l Greater than 10, multiplicative factor is set equal to four.
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