例30.5题目为:The 1996 Amendment to the Capital Accord requires that internal models
a. Utilize at least six months of historical data
b. Utilize at least one year of equally weighted historical data
c. Utilize enough historical data so that the weighted average age of the data is at least six months
d. Utilize two years of historical data, unequally weighted
书上答案是C,说是仅当银行使用固定权重(fixed weight)的时候B才是正确的。
书中相关的文字是(P703):
An observation period based on at least a year of historical data or, if a non-equal weighting scheme is used, an average time lag of at least six months.
我的理解是:既然只有非同权机制下才使用平均时滞至少是6个月的历史数据,那么同权机制历史数据就应该用一年的,所以我开始选了B。
有点头晕。
顺便请教一下,fixed weight和equal weight在此处的具体差别是什么?
多谢多谢。