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FRM®知识点：巴塞尔委员会反测试规则
文章来源：网络
发布时间：2022-01-26 14:20
阅读：543次
巴塞委员会更关注于exception过多的情况。
The Basel Committee requires that market VaR be calculated at the 99%confidence level and backtesting over the past year.【点击免费下载>>>更多FRM学习相关资料】
That is at the 99%confidence level,we would expect to have 2.5 exceptions(250×0.01)each year.
巴塞委员会更关注于exception过多的情况。
尽量降低第一类错误的概率的同时，会使第二类错误的概率上升。
The Basel Penatly Zones(250 days):A scale of the number of exceptions and corresponding increases in the capital multiplier,k.
Banks are penalized for exceeding four exceptions per year.The multiplier k is normally 3 but can be increased to as much as 4.
eg:
Green:对某家银行进行VaR的检测，如果VaR值一年内的天数在0-4之间，则不需要进行处罚，k=3
Red：如果exceptions超过10，则VaR值严重低估，将对k进行严重的惩罚，k=4
Within the‘yellow’zone,the penalty is up to the supervisor,depending on the reason for the exception.The Basel Committee uses the following categories:
exception过多的四种原因：
Basic integrity of the model is lacking.
The deviation occurred because the position were reported incorrectly or because of an error in the program code.The penalty should apply.(需要进行处罚)
Model accuracy could be important.
The deviation occurred because the model does not measure risk with enough precision.The penalty should apply.(需要进行处罚)
Intraday trading.
Positions changed during the day(VaR is based on static portfolios).The penalty should be considered.(应考虑进行处罚)
Bad luck.
Markets were particularly volatile or correlations changed.No penalty guidance is provided.(没有说明是否需要进行处罚）
These exceptions should be excepted to occur at least some of the time.Such as sudden abnormal changes in interest rates or exchanges rates,major political events,or natural disasters.
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