题目问简单相加的方法,为何风险对应的capital很低,应该是忽略了相关性啊?B选项翻译是它忽略了三种风险/?没读懂
问题如下图:
选项:
A.
B.
C.
D.
解释:
NO.PZ2016072602000029 问题如下 Consir a bank thwants to have an amount of capitso thit cabsorb unexpectelosses corresponng to a firmwi Vthe 1 % level. It measures firmwi Vaing up the VARs for market risk, operationrisk, ancret risk. There is a risk ththe bank htoo little capitbecause It es not take into account the correlations among risks. It ignores risks thare not market, operational, or cret risks. It mistakenly uses Vto measure operationrisk because operationrisks thmatter are rare events. It is meaningless to a VARs. B is correct. Vcaeacross fferent types of risk, but this will provi a conservative estimate of capitversification effects are ignore So answer woulfor too much capital. Answer is not correbecause rare events cfactoreinto operational VAR. Most likely, the bank mhave too little capitfor other types of risk ththose measurethese three categories. 如题
NO.PZ2016072602000029问题如下 Consir a bank thwants to have an amount of capitso thit cabsorb unexpectelosses corresponng to a firmwi Vthe 1 % level. It measures firmwi Vaing up the VARs for market risk, operationrisk, ancret risk. There is a risk ththe bank htoo little capitbecause It es not take into account the correlations among risks. It ignores risks thare not market, operational, or cret risks. It mistakenly uses Vto measure operationrisk because operationrisks thmatter are rare events. It is meaningless to a VARs. B is correct. Vcaeacross fferent types of risk, but this will provi a conservative estimate of capitversification effects are ignore So answer woulfor too much capital. Answer is not correbecause rare events cfactoreinto operational VAR. Most likely, the bank mhave too little capitfor other types of risk ththose measurethese three categories. 除了CR.MR OR还有什么风险?战略,声誉之类的吗?
NO.PZ2016072602000029 问题如下 Consir a bank thwants to have an amount of capitso thit cabsorb unexpectelosses corresponng to a firmwi Vthe 1 % level. It measures firmwi Vaing up the VARs for market risk, operationrisk, ancret risk. There is a risk ththe bank htoo little capitbecause It es not take into account the correlations among risks. It ignores risks thare not market, operational, or cret risks. It mistakenly uses Vto measure operationrisk because operationrisks thmatter are rare events. It is meaningless to a VARs. B is correct. Vcaeacross fferent types of risk, but this will provi a conservative estimate of capitversification effects are ignore So answer woulfor too much capital. Answer is not correbecause rare events cfactoreinto operational VAR. Most likely, the bank mhave too little capitfor other types of risk ththose measurethese three categories. 所以可以直接相加为什么是错的?
NO.PZ2016072602000029 It ignores risks thare not market, operational, or cret risks. It mistakenly uses Vto measure operationrisk because operationrisks thmatter are rare events. It is meaningless to a VARs. B is correct. Vcaeacross fferent types of risk, but this will provi a conservative estimate of capitversification effects are ignore So answer woulfor too mucapital. Answer is not correbecause rare events cfactoreinto operationVAR. Most likely, the bank mhave too little capitfor other types of risk ththose measurethese three categories. 既然算出来的值太小,那不会应该操作失误,譬如输入错误数据不足等这之类的数据令本该大的值却变小了吗?
NO.PZ2016072602000029 It ignores risks thare not market, operational, or cret risks. It mistakenly uses Vto measure operationrisk because operationrisks thmatter are rare events. It is meaningless to a VARs. B is correct. Vcaeacross fferent types of risk, but this will provi a conservative estimate of capitversification effects are ignore So answer woulfor too mucapital. Answer is not correbecause rare events cfactoreinto operationVAR. Most likely, the bank mhave too little capitfor other types of risk ththose measurethese three categories. 问题如上问题如上问题如上