A和D

问题如下：

Your bank is implementing the advanced Internal Rating Based Approach of Basel II for credit risk, and the Advanced Measurement Approach for operational risk. The bank uses the internal model 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：

It is the perfect correlation.