开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

中二 · 2020年02月11日

问一道题:NO.PZ2016070201000026 [ FRM II ]

问题如下:

Which of the following statements is considered to be a drawback of the current Basel framework for risk measurement?

选项:

A.

Risk measurement focuses exclusively on VaR analysis.

B.

The current regulatory system encourages more risk-taking when times are good.

C.

There is not enough focus on a compartmentalized approach to risk assessment.

D.

There is not a feedback loop via the pricing of risk.

解释:

Institutions have a tendency to buy more risky assets when prices of assets are rising.

老师好,这部分知识在讲义的哪个地方啊?

1 个答案

orange品职答疑助手 · 2020年02月11日

同学你好。本题有点偏巴塞尔协议方面的common sense。我们二级有门巴塞尔协议的课,它会更系统地按三大风险去讲巴塞尔风险。学完那门课再回来看这道题应该就很简单了。


Basel对资本的要求越来越高,商业银行为保证自己的回报,的确会通过买入高风险资产提高收益率。这是basel起到的副作用,所以是缺点。