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金融民工阿聪 · 2021年03月21日

IRC不包含SRC那项对吗,另外这题放在这里又超纲了吧

NO.PZ2016072602000061

问题如下:

In the latest guidelines for computing capital for incremental risk in the trading book, the incremental risk charge (IRC) addresses a number of perceived shortcomings in the 99%/10 day VAR framework. Which of the following statements about the IRC are correct?

I. For all IRC-covered positions, the IRC model must measure losses due to default and migration over a one-year horizon at a 99% confidence level.

II. A bank can incorporate into its IRC model any securitization positions that hedge underlying credit instruments held in the trading account.

III. A bank must calculate the IRC measure at least weekly, or more frequently as directed by its supervisor.

IV. The incremental risk capital charge is the maximum of (1) the average of the IRC measures over 12 weeks and (2) the most recent IRC measure.

选项:

A.

I and II

B.

III and IV

C.

I,II,and III

D.

II,III,and IV

解释:

B is correct. Statement I. is incorrect because the confidence level is 99.9%. Statement II. is incorrect because securitizations are subject to the banking book capital requirements. The other two statements are correct.

老是看完一章,做课后题遇到超纲的题(下一章节才讲到的题放到这章的练习题来出),很影响效果啊o(╥﹏╥)o

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已采纳答案

袁园_品职助教 · 2021年03月21日

同学你好!
IRC不包含SRC那项是指哪一项?

IRC 是 incremental risk charge

SRC 是 Specific Risk Charge


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