NO.PZ2019070901000117
问题如下:
Regarding the market risk factor for pricing, which of the following statement about using them for calculating market risk VaR is incorrect ?
选项:
A.When measuring the bank's spread risk, the volatility of interest rates should be considered.
B.If the position of commodity-based products is limited, this exposure has no effect on the calculation of VaR.
C.If the bank has a significant exposure to a specific foreign currency, the volatility of this particular foreign currency should be considered when measuring risks.
D.When calculating the bank's portfolio VaR, the volatility of equity prices should be considered.
解释:
B is correct.
考点:风险因子
解析:
A:在给债券定价的时候,银行会分别生成两条收益率曲线来衡量利率风险和spread风险(定价时都会用),A对。
B:即使只有有限的头寸,银行要通过大宗商品价格的风险因子来衡量风险,B错。
C: 如果银行存在重大的外汇风险敞口,银行应该使用外汇风险因子对风险进行衡量,C对。
D:计算组合的VaR时,equity的波动也要考虑,D对。
请问什么叫有限的头寸