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金融民工阿聪 · 2021年03月21日

为什么B不对呢

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:

A.

Internal rating and vendor models

B.

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。

2 个答案
已采纳答案

品职答疑小助手雍 · 2021年03月21日

嗨,努力学习的PZer你好:


你是不是联想到stressed var?这个和stress testing还是两回事的,B选项多说了stress testing。

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金融民工阿聪 · 2021年03月27日

stress testing和stressed var有啥区别?

品职答疑小助手雍 · 2021年03月27日

嗨,努力学习的PZer你好:


stress testing和stressed var完全是两个东西。

前者是压力测试,是平时风控中的一个操作过程。

后者是市场风险中的计算资本金的时候基础的var算完还要加上stressed var。

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