NO.PZ2019070901000092
问题如下:
According to incremental risk charge calculation, banks are required to:
选项:
A.estimate a liquidity horizon for each instrument in the portfolio and rebalance their portfolios at the end of the liquidity horizon.
B.build up a buffer of Tier 1 equity capital equal to 2.5% of risk- weighted assets in normal times.
C.focuses on its ability to weather a 30-day period of reduced/disrupted liquidity.
D.calculate the VaR using a 250-day period of stressed market conditions.
解释:
A is correct.
考点:the incremental risk charge
解析:
计算IRC (the incremental risk charge)时,银行需要估计组合中每种工具的liquidity horizon。例如,假设组合中一个AA+级的债券的liquidity horizon为3个月,如果3个月之后债券违约或者信用评级下降,银行将会使用另一个AA+级的债券来替代该债券。组合调整的频率取决于liquidity horizon,在进行这样的调整时,银行可能因为债券信用评级下调而遭受一定的损失,但通常情况下可以规避债券的default risk。选项A正确
选项B、C、D分别是capital conservation buffer, liquidity coverage ratio 和 the stressed VaR的计算方式。
1.关于A,讲义中我看到的最多也就是说它考虑了rating changes,然后要银行去rebalance,并没有说要根据LH来算,LH作为单独的一章放在了后面讲,也没有提到LH和rebalance有啥关系。
2.LH说的不是一个头寸处理掉并且不改变市场价值的情况下花费的时间吗,不太理解和rebalance的期限有啥关系。就是我这个头寸要清理掉需要花费30天,那我就要每30天(为啥和LH一样)去观察一下它的评级?