问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
如果correlation=0的话应该怎么计算总风险呢？
orange品职答疑助手 · 2018年09月30日
同学你好，这里是通过将各风险的regulatory capital求和来计算总风险的，而regulatory capital = 8% * RWA，也就是说regulatory capital的本质是RWA，也就是资产价值(风险加权后的)。所以我们在进行求和时，惯例做法都是将资产价值直接相加，也就是假设是完美相关，相关度=1. 如果相关度=0，这个问题本身其实没什么经济意义。
在求组合的标准差时，才可以假设相关系数为0或其他数，然后用求组合标准差的公式；求组合的VaR时，在各资产均值为0的情况下，组合的VaR也可以用类似的方法求组合的VaR
NO.PZ2016072602000062问题如下Your bank is implementing the AIRB approafor cret risk, the AMA for operationrisk, anthe internmols approafor market risk. The chief risk officer (CRO) wants to estimate the bank's totrisk aing up the regulatory capitfor market risk, cret risk, anoperationrisk. The CRO asks you to intify the problems with using this approato estimate the bank’s totrisk. Whiof the following statements about this approais incorrect?A.It assumes market, cret, anoperationrisks have zero correlation.B.It uses a 10-y horizon for market risk.C.It ignores strategic risks.It ignores the interest risk associatewith the bank's loans.A is correct. Aing up the capitcharges assumes perfecorrelations (or least high correlations, implying extreme shocks happen the same time), not zero correlations. The market risk charge uses a 10-y horizon, so statement is correct. The Basel capitcharges ignore strategic risk aninterest rate risk in the banking book, so statements an are correct.既然三者完全不相关，岂不是说明correlation为0？为啥等于1呢，这不就是说明三者完全正相关了吗？依然不明白，感谢回复
NO.PZ2016072602000062 问题如下 Your bank is implementing the AIRB approafor cret risk, the AMA for operationrisk, anthe internmols approafor market risk. The chief risk officer (CRO) wants to estimate the bank's totrisk aing up the regulatory capitfor market risk, cret risk, anoperationrisk. The CRO asks you to intify the problems with using this approato estimate the bank’s totrisk. Whiof the following statements about this approais incorrect? A.It assumes market, cret, anoperationrisks have zero correlation. B.It uses a 10-y horizon for market risk. C.It ignores strategic risks. It ignores the interest risk associatewith the bank's loans. A is correct. Aing up the capitcharges assumes perfecorrelations (or least high correlations, implying extreme shocks happen the same time), not zero correlations. The market risk charge uses a 10-y horizon, so statement is correct. The Basel capitcharges ignore strategic risk aninterest rate risk in the banking book, so statements an are correct. 计算银行的regulcapit的时候是将三个风险直接相加，那不是没有考虑相关性，相关性不就是0吗
NO.PZ2016072602000062 为什么巴二没有衡量interest rate of bank's loan?MR里面不是考虑了吗？
请问B怎么理解，Cret Var和OperationVar不都是1年的吗
没有包括interest rate in banking book 吗？。。把巴三也没有吗？