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410140980 · 2022年11月04日

表述2 说的是banking book吗

NO.PZ2016072602000061

问题如下:

In the latest guidelines for computing capital for incremental risk in the trading book, the incremental risk charge (IRC) addresses a number of perceived shortcomings in the 99%/10 day VAR framework. Which of the following statements about the IRC are correct?

I. For all IRC-covered positions, the IRC model must measure losses due to default and migration over a one-year horizon at a 99% confidence level.

II. A bank can incorporate into its IRC model any securitization positions that hedge underlying credit instruments held in the trading account.

III. A bank must calculate the IRC measure at least weekly, or more frequently as directed by its supervisor.

IV. The incremental risk capital charge is the maximum of (1) the average of the IRC measures over 12 weeks and (2) the most recent IRC measure.

选项:

A.

I and II

B.

III and IV

C.

I,II,and III

D.

II,III,and IV

解释:

B is correct. Statement I. is incorrect because the confidence level is 99.9%. Statement II. is incorrect because securitizations are subject to the banking book capital requirements. The other two statements are correct.

老师这个表述2是在说banking book的意思吗?我看解析好像是这个意思。但表述最后不是说这个头寸是放在trading account中的吗

2 个答案

李坏_品职助教 · 2022年11月09日

嗨,爱思考的PZer你好:


II说的是银行可以把任何资产证券化的仓位放到IRC模型中。因为银行的资产证券化不能随便放到模型中,其头寸数量是受到banking book资本需求量的限制的,不能过量。

所以II是错误的,不能选II。


 trading account是交易账户,不要去深究它,这个是本选项的错误点没有太大关系。本选项错误的地方是“ any securitization positions ”。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

李坏_品职助教 · 2022年11月04日

嗨,爱思考的PZer你好:


II说的是银行可以把任何资产证券化的仓位(这部分仓位是用来对冲trading account中的信用工具)囊括进IRC模型中,这是错误的。因为银行的资产证券化是受到banking book资本需求量的限制的。


你说的trading account是修饰credit instrument的。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

410140980 · 2022年11月09日

老师能不能在解释详细一点,我看了题目的解析和您给的解析还是有点糊里糊涂。读了好几遍表述2,理解下来还是在trading book中用来对冲信用工具的资产证券化的头寸。 理解完后我的解题思路是,最终是个衍生品的头寸,所有的衍生品头寸是包含在MR的计算当中。所有不被包含IRC的模型中。烦请老师在给解释一下

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