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DDAXC · 2020年10月12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).

internal model approach是衡量市场风险的呀 standardized approach是衡量信用风险 这俩都不是衡量一个东西怎么比较呢?

1 个答案

袁园_品职助教 · 2020年10月13日

同学你好!

你可以简单理解为我要用最简单粗暴的方法来衡量风险, 而要想用更简单的、计量更不精确的标准法,肯定就要选一个最简单的、对风险计量要求最低的条件,也就是最安全的一个情景,即C描述的买 option 且 insignificant

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