嚴(yán)同學(xué)
2025-08-02 12:11老師，B和C還不明白
所屬：FRM Part II > Operational Risk and Resiliency 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Michael助教
2025-08-04 01:07
該回答已被題主采納
同學(xué)你好，
B選項(xiàng)：Begin monitoring the performance of each model only after the backtest of the model has been successfully completed.【回測之前就要監(jiān)控，監(jiān)控是全流程的】
C選項(xiàng)：Ensure that third-party vendor models used by the bank are implemented under the assumptions that were initially provided by the vendor.【現(xiàn)實(shí)世界是多變的，模型設(shè)計(jì)之初的假設(shè)條件很有可能不再相同，這個時(shí)候模型依然可以使用，但是需要調(diào)整。最典型的案例應(yīng)該就是次貸危機(jī)期間的CDO模型使用了早期的相關(guān)系數(shù)估計(jì)，沒有在危機(jī)期間調(diào)整相關(guān)系數(shù)參數(shù)導(dǎo)致模型結(jié)果出錯】
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