FRM极值理论分析报告.pptVIP

Extreme Value Theory Basel Rules for Backtesting The Basel Committee put in place a framework based on the daily backtesting of VaR. Having up to four exceptions is acceptable, which defines a green zone. If the number of exceptions is five or more, the bank falls into a yellow or red zone and incurs a progressive penalty, which is enforced with a higher capital charge. Roughly, the capital charge is expressed as a multiplier of the 10-day VaR at the 99% level of confidence. The normal multiplier k is 3. After an incursion into the yellow zone, the multiplicative factor, k, is increased from