FRM II- OR EDU Q3

anbu.edu
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FRM II- OR EDU Q3

Postby anbu.edu » Sat Oct 25, 2014 5:56 pm

In the Internal Models Approach, an exception occurs when an actual P&L results exceeds the
VaR forecast. How many times may this occur before the model falls into the penalty "Red Zone"?
Select one:
a. 4 times a year
b. 6 times a year
c. 9 times a year
d. 10 times a year

the question was how many any times may this occur before red zone - would C be correct?

edupristine
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Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

FRM II- OR EDU Q3

Postby edupristine » Wed Oct 29, 2014 12:00 pm

The answer is (d) 10 times a year. Within the red zone of 10 or more exceptions, the VaR model is deemed to be inaccurate for regulatory purposes.


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