题目
Which of the following correctly describe the similarities between Operational VaR and Market VaR? I Both VaRs, when used for regulatory capital measurement, need to be validated against actual loss experience. II Both are built on data (market prices for Market VaR and operational loss data for Operational VaR) that is readily available. III Both are modeled based on a normal distribution. IV Extreme Value Theory can be used to model extreme losses at the tail of the distribution for both Operational and Market VaR.
选项
A.I and IV
B.I, II and III
C.I, II and IV
D.II, III and IV
答案
A
解析
I and IV are correct comparisons.II is not a correct comparison. While market risk data is readily available, operational losses (especially extreme operational losses) data are relatively sparse and pose significant difficulty for operational VaR modeling.III is not a correct comparison. Other statistical distributions also are in use for modeling VaR. E.g, an operational VaR can be derived from convolution of a frequency distribution (e.g. Poisson distribution) and a severity distribution (e.g. lognormal distribution).I和IV是正确的比较。II是不正确的比较。 尽管市场风险数据随时可用，但运营损失（尤其是极端运营损失）数据相对稀疏，给操作VaR建模带来了巨大困难。III是不正确的比较。 其他统计分布也用于建模VaR。 例如，可以从频率分布（例如泊松分布）和严重性分布（例如对数正态分布）的卷积中得出可操作的VaR