SRC只包含了event risk and basis risk没有包含strategic risk？
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
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？
