NO.PZ2016072602000056
问题如下:
Under the Basel II Capital Accord, banks that have obtained prior regulatory approval can use the internal models approach to estimate their market risk capital requirement. What approach or methodology is used under the internal models approach to compute capital requirements?
选项: Internal rating and vendor models
Stress-testing and backtesting
C.Expected tail loss, as VAR is not a coherent measure of risk
D.VAR methodology
解释:
D is correct. The internal models approach is based on the banks' internal VAR methodology.
IMA里面有VaR,也是压力测试的一部分,里面有m乘数factor,涉及backtesting,为什么不能选B呢,虽然我知道D也是对的。