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还是星宇好 · 2020年10月06日

问一道题：NO.PZ2016072602000008

  1. FRM II
  2. Operational Risk and Resiliency

问题如下：

Suppose you are given the following information about the operational risk losses at your bank. What is the estimate of the VAR at the 95 % confidence level, including expected loss (EL)?

选项：

A.

USD 100,000

B.

USD 101,000

C.

USD 200,000

D.

USD 110,000

解释：

A is correct.

Because VAR should include EL, there is no need to compute EL separately. The table shows that the smallest loss such that the cumulative probability is 95% or more is $100,000.

老师你好，都说了including EL ，咋个不减去呢，难道意思是VAR 包含 el等于几？

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1 个答案

袁园_品职助教 · 2020年10月07日

同学你好！

操作风险AMA法这里，正常情况下，是Unexpected Loss = Capital = VaR，不用减去EL。因为巴塞尔委员会认为银行算的EL不靠谱。除非EL算的准，巴塞尔才认为可以减。具体看题目，大多数都是不减去EL的。

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