问一道题：NO.PZ2016072602000009

问题如下：

Capital is used to protect the bank from which of the following risks?

选项：

Risks with an extreme financial impact

High-frequency, low-loss events

Low-frequency risks with significant financial impact

High-frequency uncorrelated events

解释：

C is correct. Capital is supposed to absorb risks that have significant financial impact on the firm. Risks with extreme financial impact, such as systemic risk, cannot be absorbed by capital alone, so answer a. is wrong. Low-loss events are unimportant, so b. is wrong. Uncorrelated events tend to diversify, so d. is wrong.

为什么不是a呢

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小刘_品职助教 · 2020年03月08日

同学你好，

这道题你可以这么理解，极端的金融市场风险是极端情况下出现的，没有足够的数据，无法仅仅使用资本就可以cover住，因为你不知道该准备多少capital去cover他。

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High-frequency, low-loss events Low-frequenrisks with significant financiimpa High-frequenuncorrelateevents C is correct. Capitis supposeto absorb risks thhave significant financiimpaon the firm. Risks with extreme financiimpact, susystemic risk, cannot absorbecapitalone, so answer is wrong. Low-loss events are unimportant, so is wrong. Uncorrelateevents tento versify, so is wrong. 请问为什么不是cover HFLS的loss呢？我理解capital是cover unexpecteloss，而basel要求capital要cover VaR（不减EL），那它cover的这部分小于等于VaR的不就是非极端的损失吗？而超过VaR的极端损失（LFHS）不是用insurance之类的来cover吗？

2020-03-07 13:48 1 · 回答

？？？为什么不是b

2019-08-19 10:21 1 · 回答

问一道题：NO.PZ2016072602000009

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