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Which of the following correctly describe the similarities between Operational VaR and Market VaR？

I. Both VARs, when used for regulatory capital measurement, need to be

validated against actual loss experience

II. Both are built on data (market prices for Market VaR and operational loss data

for Operational VaR) that is readily available【資料下載】點擊下載融躍教育FRM二級學(xué)習(xí)計劃

III. Both are modeled based on a normal distribution

IV. Extreme Value Theory can be used to model extreme losses at the tail of the

distribution for both Operational and Market VaR.

A) I and IV

B) I, II and III

C) I, II and IV

D) II, III and IV

答案：A

解析：I and IV are correct comparisons. II is not a correct comparison. While market risk data is readily available, operational losses (especially extreme operational losses) data are relatively sparse and pose significant difficulty for operational VaR modeling.

III is not a correct comparison. Other statistical distributions also are in use for modeling VaR. E.g. an Operational VaR can be derived from convolution of a frequency distribution (e.g. Poisson distribution) and a severity distribution (e.g. lognormal distribution).

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