NO.PZ2016072602000062
问题如下：
Your bank is implementing the AIRB approach for credit risk, the AMA for operational risk, and the internal models approach for market risk. The chief risk officer (CRO) wants to estimate the bank's total risk by adding up the regulatory capital for market risk, credit risk, and operational risk. The CRO asks you to identify the problems with using this approach to estimate the bank’s total risk. Which of the following statements about this approach is incorrect?
选项：
A.
It assumes market, credit, and operational risks have zero correlation.
B.
It uses a 10-day horizon for market risk.
C.
It ignores strategic risks.
D.
It ignores the interest risk associated with the bank's loans.
解释：
A is correct. Adding up the capital charges assumes perfect correlations (or at least high correlations, implying extreme shocks happen at the same time), not zero correlations. The market risk charge uses a 10-day horizon, so statement b. is correct. The Basel capital charges do ignore strategic risk and interest rate risk in the banking book, so statements c. and d. are correct.
既然三者完全不相关，岂不是说明correlation为0？为啥等于1呢，这不就是说明三者完全正相关了吗？依然不明白，感谢回复
