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mango · 2017年11月15日

问一道题：NO.PZ2016072602000061 [ FRM II ]

  1. FRM II
问题如下图：
选项：
A.
B.
C.
D. 
解释：
Securitization 如果可以从B/S中remove 后 ,为什么securitization tranches为什么还有风险？资产负债表达上还有相关资产吗？
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1 个答案

maggie_品职助教 · 2017年11月16日

很多银行为了监管套利通过资产证券话将大量资产出表，然后再买回来，这样原来在banking book的资就转移到了trading book上。这样的操作方法可以降低银行的资本金要求，但巴塞尔委员会是禁止这样的操作的。证券化产品如果并非“true sale”,仍旧需要放在bankingbook上面按照1年99.9%计算CVAR.

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NO.PZ2016072602000061 问题如下 In the latest guilines for computing capitfor incrementrisk in the trang book, the incrementrisk charge (IRaresses a number of perceiveshortcomings in the 99%/10 y Vframework. Whiof the following statements about the IRC are correct?I. For all IRC-coverepositions, the IRC mol must measure losses e to fault anmigration over a one-yehorizon a 99% confinlevel.II. A bank cincorporate into its IRC mol any securitization positions thhee unrlying cret instruments helin the trang account.III. A bank must calculate the IRC measure least weekly, or more frequently recteits supervisor.IV. The incrementrisk capitcharge is the maximum of (1) the average of the IRC measures over 12 weeks an(2) the most recent IRC measure. I anII III anIV C.I，II，anIII II，III，anIV B is correct. Statement I. is incorrebecause the confinlevel is 99.9%. Statement II. is incorrebecause securitizations are subjeto the banking book capitrequirements. The other two statements are correct. 请问这个在讲义哪个部分啊

2024-04-18 21:36 1 · 回答

NO.PZ2016072602000061 问题如下 In the latest guilines for computing capitfor incrementrisk in the trang book, the incrementrisk charge (IRaresses a number of perceiveshortcomings in the 99%/10 y Vframework. Whiof the following statements about the IRC are correct?I. For all IRC-coverepositions, the IRC mol must measure losses e to fault anmigration over a one-yehorizon a 99% confinlevel.II. A bank cincorporate into its IRC mol any securitization positions thhee unrlying cret instruments helin the trang account.III. A bank must calculate the IRC measure least weekly, or more frequently recteits supervisor.IV. The incrementrisk capitcharge is the maximum of (1) the average of the IRC measures over 12 weeks an(2) the most recent IRC measure. I anII III anIV C.I，II，anIII II，III，anIV B is correct. Statement I. is incorrebecause the confinlevel is 99.9%. Statement II. is incorrebecause securitizations are subjeto the banking book capitrequirements. The other two statements are correct. 老师这个表述2是在说banking book的意思吗？我看解析好像是这个意思。但表述最后不是说这个头寸是放在trang account中的吗

2022-11-04 17:48 2 · 回答

III anIV I，II，anIII II，III，anIV B is correct. Statement I. is incorrebecause the confinlevel is 99.9%. Statement II. is incorrebecause securitizations are subjeto the banking book capitrequirements. The other two statements are correct. 市场风险的var不是99%10天的吗？今年的讲义里信用和操作是99.9%的var，但是市场双99%啊，到底是哪个，麻烦清楚很混乱的

2021-05-06 22:35 2 · 回答

NO.PZ2016072602000061 B is correct. Statement I. is incorrebecause the confinlevel is 99.9%. Statement II. is incorrebecause securitizations are subjeto the banking book capitrequirements. The other two statements are correct. 这个securitisation 应该是考虑它的市场风险而不是信用风险吗？所以不能用IRC

2021-04-03 21:26 1 · 回答

NO.PZ2016072602000061 B is correct. Statement I. is incorrebecause the confinlevel is 99.9%. Statement II. is incorrebecause securitizations are subjeto the banking book capitrequirements. The other two statements are correct. 老是看完一章，做课后题遇到超纲的题（下一章节才讲到的题放到这章的练习题来出），很影响效果啊o(╥﹏╥)o

2021-03-21 02:11 1 · 回答