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我们 · 2020年05月28日

问一道题:NO.PZ2016072602000055

问题如下:

You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the standardized approach to report options exposure instead of the internal models approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?

选项:

A.

The bank writes options, but its options trading is insignificant in relation to its overall business activities.

B.

The bank purchases and writes options and has significant option trading.

C.

The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.

D.

The bank purchases and writes options, but its option trading is insignificant.

解释:

C is correct. A bank can use the simplified approach only if it purchases options and its option trading is not significant. Otherwise, it is required to use the intermediate approach. Another way to look at the question is that answer c. contains the weakest conditions (i.e., those least likely to lead to a large loss).

请问这个题是什么意思呢?没有看懂

2 个答案

品职答疑小助手雍 · 2020年06月07日

市场风险的叫standard measurement approach 差一个单词,这几个风险的度量方法的名字是没有完全重复的。

品职答疑小助手雍 · 2020年05月28日

嗨,爱思考的PZer你好:


这题如果从做题的角度的话,直接就抓住最后一句用简单的模型,那肯定是要选一个相关业务风险最小的情景来。而C就是最小的,买期权亏损有限,收益无限,同时这类业务不中主要业务。

从另一个角度看:internal models approach是市场风险里的方法,而standardized approach是信用风险里的方法,也间接说明了涉及信用风险的肯定是只买了期权的头寸,然后从要使用更简单的模型考虑,就选这部分业务insignificant就只有C了。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


摇了摇头 · 2020年06月06日

老师我看市场风险里也有标准法呀

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