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410140980 · 2023年07月25日

D选项

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000043

问题如下：

For regulatory capital calculation purposes, what market risks must be incorporated into a bank's VAR estimate?

选项：

A.

Risks in the trading account relating to interest rate risk and equity risk

B.

Risks in the trading account relating to interest rate risk and equity risk, and risks throughout the bank related to foreign exchange and commodity risks

C.

Risks throughout the bank related to interest rate risk, equity risk, foreign exchange risk, and commodity risk

D.

Interest rate risk, equity risk, foreign exchange risk, and commodity risk in the trading account only

解释：

B is correct. In addition to all the risks in the trading book (interest rate, equity, foreign exchange, commodity), the market capital charges also include foreign exchange and commodity risks in the banking book.

老师D选项不也是说MR计算regular capital的时候考虑了这些风险吗


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1 个答案

DD仔_品职助教 · 2023年07月26日

嗨，爱思考的PZer你好：


同学你好，

D选项说的是trading book only，这是不对的，还需要包含banking book的FX和commodity risk

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2022-03-05 16:34 1 · 回答

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2021-10-27 23:26 1 · 回答

NO.PZ2016072602000043 Risks in the trang account relating to interest rate risk anequity risk, anrisks throughout the bank relateto foreign exchange ancommoty risks Risks throughout the bank relateto interest rate risk, equity risk, foreign exchange risk, ancommoty risk Interest rate risk, equity risk, foreign exchange risk, ancommoty risk in the trang account only B is correct. In aition to all the risks in the trang book (interest rate, equity, foreign exchange, commoty), the market capitcharges also inclu foreign exchange ancommoty risks in the banking book. 请问C项是哪里说错了，是表外没利率股票这类MR么，所以一定要分trang book和throughout来讲？

2021-05-05 11:19 1 · 回答

     老师你好，请下foreign exchange和commoty risks为什么不在trang book？throughout the bank怎么理解呢？答案B可直接当结论记忆吗，谢谢。

2019-10-20 22:06 1 · 回答