NO.PZ2022070603000006
问题如下:
A risk consultant is presenting to a group of junior risk managers on how risk management failures contributedto financial disasters. The consultant focuses on the lessons learned from examining historical financialdisasters in the US and around the world. Which of the following correctly describes a lesson learned from thegiven case?
选项:
A.
The Sharpe emphasizes the importance of fully understanding complex derivative contracts before entering into them.
B.
The London Whale case emphasizes the importance of recognizing that correlations can increase sharply during a global financial crisis.
C.
The Northern Rock case emphasizes the importance of having a strong cybersecurity framework.
D.
The LTCM case emphasizes the importance of meeting regulatory capital requirements.
解释:
中文解析:
A是正确的。当Robert Citron在逆向浮动互换中下了大额赌注之后,Orange County暴雷了。董事会没有充分理解该合约的性质,当利率上涨的时候出现了爆仓。Citron后来承认他既没有理解仓位的性质,也没有理解他的风险敞口。
B是错误的。错误的相关系数建模是次贷危机或LTCM崩盘这种案例的核心话题。伦敦鲸案例在2012年发生,已经是次贷危机发生之后的事,伦敦鲸案例的主要问题是关于风险限额、仓位限制和VaR模型的不合理的风险治理政策。
C是错误的。这指的是SWIFT案例。北岩银行属于挤兑事件,这种事件是由于过度依赖回购协议造成的。当回购协议流动性枯竭,银行也就陷入了流动性危机。
D是错误的。LTCM案例是由于错误的相关系数建模和不充分的压力测试造成的。作为一家对冲基金,LTCM不受监管资本规定的限制。
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A is correct. Orange County imploded when Robert Citron made a large bet on inverse floating swaps, which was not fully understood by the county’s board of directors, and blew up when interest rates rose. Citron later admitted that he did not understand either the position that he took or the risk exposure of the fund.
B is incorrect. Poor correlation modeling was more a central theme of the subprime crisis or Long Term Capital Management (although the LTCM incident did not occur during a crisis.) The London Whale case took place in 2012, well after the end of the crisis, and its main themes were poor corporate governance with respect to risk concentration limits, position limits and VaR models.
C is incorrect. This refers to the SWIFT case. The Northern Rock case was a run on the bank which occurred partly due to an overreliance on repurchase agreements and liquidity risk when repo financing dried up.
D is incorrect. The LTCM case was a case of incorrect correlation modeling and inadequate stress testing. As a hedge fund, LTCM was not covered by regulatory capital requirements at the time.
第一个案例说的虽然是orange的案例但是夏普好像没有出现过?