NO.PZ2019052001000043
问题如下:
Regarding the calculation of economic capital, which of the following statements is correct ?
I. If the company has almost no operational, credit and settlement risks, then choosing a lower confidence level will reduce the amount of risk capital required.
II. It is advisable to choose a shorter time horizon for RAROC calculations because the risk and return data are more reliable with a short time period.
选项:
A. I only.
B. II only.
C. Both I and II.
D. Neither I nor II.
解释:
B is correct.
考点:economic capital
解析:如果公司几乎没有operational, credit, settlement risk的话,选择较低的置信水平不会降低所需的风险资本金额。 只有在公司存在大量此类风险的情况下,减少置信水平才会更加显著,因为大额损失很少。 在选择RAROC计算的时间范围时,超过一年的风险和回报数据就不是很可靠了。
虽然这家公司没有credit,operational risk,但还是会有市场风险和其他风险。所以降低confidence level对VaR还是有影响的吧。这么看来,I应该是对的啊