NO.PZ2016072602000056
问题如下：
Under the Basel II Capital Accord, banks that have obtained prior regulatory approval can use the internal models approach to estimate their market risk capital requirement. What approach or methodology is used under the internal models approach to compute capital requirements?
选项： Internal rating and vendor models
Stress-testing and backtesting
C.Expected tail loss, as VAR is not a coherent measure of risk
D.VAR methodology
解释：
D is correct. The internal models approach is based on the banks' internal VAR methodology.
老师A选项是不是在说信用风险啊，用内部评级和引入第三方外部评级
