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cindyliang · 2019年04月21日

问一道题:NO.PZ2016072602000008 [ FRM II ]

正常情况下算VAR,是不是应该用WCL—EL?

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

orange品职答疑助手 · 2019年04月22日

操作风险AMA法这里,正常情况下,是Unexpected Loss = Capital = VaR,不用减去EL。因为巴塞尔委员会认为银行算的EL不靠谱。除非EL算的准,巴塞尔才认为可以减。具体看题目,大多数都是不减去EL的。

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