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发表时间:2015-02-28 来源:金程frm 告诉小伙伴:
Which of the following correctly describe the similarities between Operational VaR and Market VaR?
  1. Both VARs, when used for regulatory capital measurement, need to be validated against actual loss experience
  2. Both are built on data (market prices for Market VaR and operational loss data for Operational VaR) that is readily available
  3. Both are modeled based on a normal distribution
  4. Extreme Value Theory can be used to model extreme losses at the tail of the distribution for both Operational and Market VaR.
  5. I and IV
  6. I, II and III
  7. I, II and IV
  8. II, III and IV

Answer: A

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).

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