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Dorothy · 2020年08月31日

问一道题:NO.PZ2019070901000143

问题如下:

Which of the following statements would be considered a drawback of Basel II/III?

选项:

A.

Procyclicality is a concern, and no countercyclical buffer is provided

B.

It does not consider diversification effects among risk classes

C.

Level 1 diversification benefits are not acknowledged

D.

There are no detailed disclosure requirements for risk management policies concerning credit risk

解释:

B is correct.

考点:Compare Basel II/III with Solvency II

解析:Basel II/III忽略了风险类别之间的分散化效果,它只考虑一个风险类别内容的分散化。

麻烦解释一下选项c,level I 分散是什么没印象了。

1 个答案

品职答疑小助手雍 · 2020年08月31日

嗨,努力学习的PZer你好:


就是说风险大类比如MR和CR,OR这些算好需要的资本之后,就直接相加了,也就忽略这些大类风险之间的分散化效果。


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