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410140980 · 2022年11月04日

incremental risk charge

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. 

老师IRC的风险包括两个,讲义上写的是一是default risk,二是credit migration risk。分别对应这道题里面的表述一credit spread risk, 二jump to default risk 是吗?

1 个答案

pzqa27 · 2022年11月05日

嗨,努力学习的PZer你好:


讲义也是这2条

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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