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备考FRM考试,FRM真题练习很关键!

发布时间:2022-01-06

编辑:融跃教育

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Which of the following areas of quantitative validation would focus on rating systems stability?

A) Sample representativeness.

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B) Dynamic properties.

C) Discriminatory power.

D) Obtaining PD

答案:B

解析:Dynamic properties include rating systems stability and attributes of migration matrices. Calibration looks at the relative ability to estimate probability of default (PD). Discriminatory power is the relative ability of a rating model to accurately differentiate between defaulting and non-defaulting entities for a given forecast period.

Sample representativeness is demonstrated when a sample from a population is taken and its characteristics match those of the total population.

Duane Danning is a junior risk analyst at a large risk management firm. He has been asked to assess the firm’s risk modeling practices and evaluate potential ways in which errors could be introduced into models. In his analysis, Danning indicates that errors can be introduced into models through programming bugs and errors in VaR estimates but rarely through incorrect position mappings. Danning’s analysis is most accurate with regard to:扫码咨询

A) Only programming bugs and incorrect position mappings.

B) Only programming bugs and errors in VaR estimates.

C) Only errors in VaR estimates.

D) Only incorrect position mappings.

答案:B

解析:Danning’s analysis is most accurate with regard to only programming bugs and errors in VaR estimates. Incorrect position mappings can also lead to material errors in risk models.

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