NO.PZ2020033001000026
问题如下：
Which of the following statements is most likely the major weakness of the current Basel approach to measure risk?
选项：
A.Banks are encouraged to take more risks when the economy is in recession.
B.Ignore the importance of using compartmentalized approach to assess risk.
Not consider the correlation between major categories of risk.
D.No feedback loop for each bank ’s risk measurement.
解释：
C is correct.
考点：Practical Issues-巴塞尔协议
解析：巴塞尔协议没有考虑市场风险，信用风险和操作风险的相关性，而是直接加和，因此C选项是巴塞尔协议的缺点。
A选项，考查结论，市场处于牛市，基于巴塞尔协议计算的VAR，银行将会更冒险，选项中说的是市场熊市，错。
B选项，巴塞尔协议采用的是compartmentalized approach，因此没有忽略这种方法的重要性，错。
D选项，巴塞尔协议对风险衡量给出了反馈结果，错。
老师这道题问basel的最大缺点最有可能是哪一个吧？compartmentalized approach不就是将风险拆成一块一块分别计量吗？这样不就造成了没有考虑相关性的缺点啊，B选项也对啊
