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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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