【FRM每日一题】二级：信用&市场强化（5）
备考FRM二级 | 2015-11-18
Which of the following statements regarding verification of a VaR model by examining its failure rates is false?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 LR>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).
Answer: C
Backtesting VaR models with higher confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.
金程FRM小编提醒：FRM通过率逐年增加，建议广大童鞋积极报考，具体可咨询金程FRM在线客服！
相关标签 FRM一级
