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没有强迫症 · 2021年05月05日

请问C项是哪里说错了

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000043

问题如下：

For regulatory capital calculation purposes, what market risks must be incorporated into a bank's VAR estimate?

选项：

A.

Risks in the trading account relating to interest rate risk and equity risk

B.

Risks in the trading account relating to interest rate risk and equity risk, and risks throughout the bank related to foreign exchange and commodity risks

C.

Risks throughout the bank related to interest rate risk, equity risk, foreign exchange risk, and commodity risk

D.

Interest rate risk, equity risk, foreign exchange risk, and commodity risk in the trading account only

解释：

B is correct. In addition to all the risks in the trading book (interest rate, equity, foreign exchange, commodity), the market capital charges also include foreign exchange and commodity risks in the banking book.

请问C项是哪里说错了，是表外没利率股票这类MR么，所以一定要分trading book和throughout来讲？

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1 个答案

品职答疑小助手雍 · 2021年05月05日

嗨，从没放弃的小努力你好：


不是表外，是banking book里没有，看选项这题考的是哪类account里有什么，所以要分类来讲。

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