NO.PZ2019042401000056
问题如下：
A newly established pension fund engages a risk consultant to assist in formulating its risk management framework and tools. During an initial meeting with the fund managers, the consultant discusses the core dimensions of the risk management process: risk planning, risk budgeting, and risk monitoring, along with the appropriate structuring for each. Which of the following statements accurately describes the risk plan or the risk budget?
选项：
A.The risk budget should establish acceptable levels of return on risk capital (RORC) for each allocation of risk capital.
The risk budget should outline the pension fund's critical dependencies related to funding and investment performance.
The risk plan should specify the allocation of risk capital among asset classes.
The risk plan should establish volatility targets, such as VaR or tracking error, for relevant time periods.
解释：
D is correct. The risk plan should define expected return and volatility objectives, such as VaR or tracking error, for relevant time periods.
A is incorrect. The risk plan should determine acceptable levels of return on risk capital (RORCs) for each allocation of risk capital.
B is incorrect. The risk plan should identify both internal and external critical dependencies that may impact the fund's operations and performance.
C is incorrect. The risk budget details how risk capital should be distributed among asset classes and active managers.
如题
