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小猫批脸 · 2023年03月31日

这道题是哪个知识点 怎么没太看懂？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000055

问题如下：

You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the standardized approach to report options exposure instead of the internal models approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?

选项：

A.

The bank writes options, but its options trading is insignificant in relation to its overall business activities.

B.

The bank purchases and writes options and has significant option trading.

C.

The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.

D.

The bank purchases and writes options, but its option trading is insignificant.

解释：

C is correct. A bank can use the simplified approach only if it purchases options and its option trading is not significant. Otherwise, it is required to use the intermediate approach. Another way to look at the question is that answer c. contains the weakest conditions (i.e., those least likely to lead to a large loss).

如题

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李坏_品职助教 · 2023年03月31日

嗨，爱思考的PZer你好：


题目问你，在BASEL II的框架下，银行必须满足什么条件才可以使用标准化方法来替代internal model，去分析期权敞口。


标准化方法是一种简化的方法（ simplified approach），银行购买的期权必须是金额较低，不是很重要，这样才能使用标准化方法。讲义没有具体说期权的问题，但是standardized approach是简化方法，自然只能用在简单的、不重要的交易上面。

此题选择期权风险影响最小的选项即可，选C。


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努力的时光都是限量版，加油！

小猫批脸 · 2023年03月31日

懂了 谢谢老师

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