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