NO.PZ2020033001000090
问题如下：
There are two approaches to calculate risks. In the top-down approach, a bank's portfolio is assumed to be divided into market, credit, and operational risk measures. In the bottom-up approach, interactions among various risk factors are being considered. Different approaches have different assumptions on risk diversification. According to the academic studies which are trying to evaluate the ratio of integrated risks to separate risks, which of the following statements is least accurate?
选项：
A.Top-down studies calculate this ratio to be less than one, which suggests that risk diversification is present and ignored by the separate approach. B.Top-down studies calculate this ratio to be greater than one, which suggests that risk diversification is present and ignored by the separate approach.
C.Bottom-up studies sometimes calculate this ratio to be less than one, but recent findings show evidence of risk compounding, which produces a ratio greater than one.
D.Bottom-up studies suggest that risk diversification should be questioned.
解释：
B is correct.
考点：Top-down approach and Bottom-up approach
解析：
本题考查的是实证研究结果，可以把正确的描述作为结论来记。
Top-down方法是对整体风险的考量，一般得出的结论是integrated risks to separate risks的比率小于1，也就是风险分散化（risk diversification）存在，所以A正确，B选项说反了。
Bottom-up方法实证研究里出现了risk compounding的现象，此时integrated risks to separate risks的比率大于1。所以C选项描述正确，Bottom-up方法可能出现比率小于1或者大于1的现象。
D选项则是根据这种现象推出的结论，使用Bottom-up方法并不一定有risk diversification存在。
题目要求选择描述不正确的选项，因此正确答案B。
1.我们巴塞尔规定的，MR+CR+OR是属于top-down还是bottom-up？
2.为什么bottom-up approach说更好地account for the interaction among risk factors呢，如果Top-down并不考虑互相之间的关系，不就不存在分化，导致TOP-DOWN＞1不是吗。
