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fdzh · 2023年10月27日

Analyzing volatility and correlation assumptions

NO.PZ2023091901000016

问题如下:

National regulators in an emerging market country are developing guidelines for appropriate risk management responsibilities for different business functions at the country’s banks. A regulatory analyst is asked to prepare a report recommending best practices for the firm-wide risk management, audit, and operations functions. Which of the following should the analyst recommend as an appropriate responsibility of the audit function?

选项:

A.

Analyzing correlation and volatility assumptions in a bank’s VaR models

B.

Implementing risk management policies related to stock-based compensation

C.

Monitoring risk exposures on a day-to-day basis for adherence to a bank’s concentration limits

D.

Processing confirmations and settlements for trades executed by a bank

解释:

A is correct. Analyzing volatility and correlation assumptions is an appropriate responsibility for an audit function.

B is incorrect. This is performed by senior management or the risk management group.

C is incorrect. This is performed by the risk management function.

D is incorrect. This is performed by the operations function.

这怎么看都像是风险管理部门的职能

1 个答案

DD仔_品职助教 · 2023年10月28日

嗨,努力学习的PZer你好:


题目问的是audit的职能,只有A是。

BC是风险管理部门的职能,D是运营部门的职能。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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