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我们 · 2022年08月13日

请问这两组是不是一个意思

NO.PZ2019070901000100

问题如下:

Basel II. 5 introduced the incremental risk charge (IRC) to further mitigate regulatory arbitrage. Chandler thinks that the incremental risk charge(IRC) recognizes the expected shortfall risk, because the amount of loss potential in the tail is important. Is he right?

选项:

A.

Yes, he's right, and interest rate risk can also be recognized by IRC, because if the interest rate goes down, it means a huge loss for the bank.

B.

No, he's wrong. It should be jump-to-default risk, because once a default happens, the bank will have an immediate and severe loss.

C.

No, he's wrong. It should be exchange rate risk, because the uncertainty of exchange rate will have an impact on the bank.

D.

Yes, he's right.

解释:

B is correct.

考点:the incremental risk charge

解析:

IRC识别的两种风险类型分别为:(1)credit spread risk; (2) jump-to-default risk. 

credit spread risk=cresit mirgition risk 也就是被降级的风险

jump-to-defult risk=default risk也就是违约风险

1 个答案

李坏_品职助教 · 2022年08月13日

嗨,努力学习的PZer你好:


对, credit spread risk是从AAA降到BBB这种的降级风险;jump to default risk是违约风险。

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