Backtesting Penalty Zones

rshankar0508
Posts: 6
Joined: Sat Apr 16, 2016 11:43 am

Backtesting Penalty Zones

Postby rshankar0508 » Wed May 18, 2016 12:56 pm

FRM_II_Operational and Integrated Risk Management_Test_Old_3_Q20

Number of times may this occur before the model falls into the penalty "Red Zone", so the answer should be "9".

FRM_II_Operational and Integrated Risk Management_Test_Old_3.PNG
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edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

Re: Backtesting Penalty Zones

Postby edupristine » Thu May 19, 2016 10:24 am

Hi R Shankar

In Red Zone Backtesting VaR is Greater than or equal to 10 exceptions, multiplier increase by 1.

will you please provide the source of your answer?


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