如果公司几乎没有OR、MR、CR的情况下，为什么选择较低的置信区间不会降低risk capital？

问题如下：

Regarding the calculation of economic capital, which of the following statements is correct ?

I. If the company has almost no operational, credit and settlement risks, then choosing a lower confidence level will reduce the amount of risk capital required.

II. It is advisable to choose a shorter time horizon for RAROC calculations because the risk and return data are more reliable with a short time period.

选项：

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释：

B is correct.

考点：economic capital

解析：如果公司几乎没有operational, credit, settlement risk的话，选择较低的置信水平不会降低所需的风险资本金额。 只有在公司存在大量此类风险的情况下，减少置信水平才会更加显著，因为大额损失很少。 在选择RAROC计算的时间范围时，超过一年的风险和回报数据就不是很可靠了。