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和棋 · 2020年10月26日

问一道题：NO.PZ2016072602000030

  1. FRM II
  2. Operational Risk and Resiliency

问题如下：

Large banks typically allocate risk capital for credit, operational, and market/ALM risks. Which of the following statements ranks the typical amount of risk capital allocated to these different risks correctly?

选项：

A.

Market/ALM risk requires more risk capital than credit risk.

B.

Credit risk requires more risk capital than market/ALM risk, which requires more risk capital than operational risk.

C.

Market/ALM risk requires more risk capital than operational risk but less than credit risk.

D.

Credit risk requires more risk capital than operational risk, which requires more risk capital than market/ALM risk.

解释：

D is correct. For most global banks, the order of importance is, first, credit risk, then operational risk, then market/ALM risk. Also, answers b. and c. are the same.

他这里只的Credit Risk比Operational Risk的Capital多是哪方面的多，因为他们两个都是1年99.9%的Var并且Operational Capital还不用减EL。

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1 个答案

袁园_品职助教 · 2020年10月27日

同学你好！

这个不是从公式推导出来的， 而是实证研究的结果

感觉考的概率也不会很高，有时间的话记一下结论吧~

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     老师您好，请问ALM risk是什么？在讲义的哪个部分有关于ALM risk的介绍？

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