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410140980 · 2022年11月04日

A选项的

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000050

问题如下：

Which of the following statements about the Basel II capital requirements is false?

选项：

A.

It increases the risk sensitivity of minimum capital requirements for internationally active banks.

B.

It addresses only credit risk and market risk.

C.

U.S. insurance companies are not required to comply with Basel II capital requirements.

D.

Banks are not allowed to use their internal models for credit risk in determining the capital requirements for credit risk.

解释：

B is correct. Statement b. is false because Basel II also covers operational risk. Banks can provide inputs but cannot use their internal models for credit risk, so statement d. is true.

老师A选项的增加risk sensitivity 是2017年最终修订的BASEL II中的规定吧？

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1 个答案

李坏_品职助教 · 2022年11月04日

嗨，努力学习的PZer你好：


看了一下基础班讲义：

2017年说的是增强了标准化方法的risk sensitivity。


题目的A说的是增强了国际化大银行的最低资本需求的risk sensitivity，这个讲义里没有直接说明，按照何老师的意思，Basel II对资本需求的计算比basel I更详细，是第一次细化了capital requirements的计算要求（实际上Basel III也是沿用了II的计算逻辑），所以A是没问题的。

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