specific risk charges.

问题如下：

The 1996 Amendment proposed two methods for calculating market risk，the standardized model and the internal model-based approach. The following characteristics belongs to which approach accordingly?

I. It sums up market risks across market risk categories.

II. It uses a multiplicative factor on the average VaR.

III. It only focuses on specific risk charges.

选项：

A.

the standardized model, the internal model-based approach, neither of them.

B.

the internal model-based approach, the standardized model, neither of them.

C.

the internal model-based approach, neither of them, the standardized model.

D.

the standardized model, neither of them, the internal model-based approach.

解释：

A is correct.

考点：衡量market risk时，标准法和内部模型法的区别

解析：

标准法是将不同风险类别中的市场风险进行简单的加总，标准法中没有考虑specific risk charges。

内部模型法中，市场风险资本要求等于 $max(VaR_{t-1},\;m_c\times VaR_{avg})\;+\;SRC$，其中，$m_c$为multiplicative factor，$VaR_{avg}$为过去60个交易日的VaR均值，因此选项A正确。