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RyanR · 2023年11月14日

老师帮忙看看我的理解对不对

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

A.

USD 84,582

B.

USD 189,737

C.

USD 268,200

D.

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by 10\sqrt{10} x 2.323/1.645 = 4.47 gives USD 268,200.

计算market risk charge 其实就是basel要求的对应的VAR。先比较昨天的和过去60天*k的，谁大用谁。然后再把大的60000，调整成99% 10天？

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1 个答案

李坏_品职助教 · 2023年11月14日

嗨，爱思考的PZer你好：


对的，就是先比较取较大值，然后把95%的VaR转换为99%的VaR就行了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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