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?