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LuckyYao · 2021年05月10日

答案D

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000050

问题如下：

Which of the following statements about the Basel II capital requirements is false?

选项：

A.

It increases the risk sensitivity of minimum capital requirements for internationally active banks.

B.

It addresses only credit risk and market risk.

C.

U.S. insurance companies are not required to comply with Basel II capital requirements.

D.

Banks are not allowed to use their internal models for credit risk in determining the capital requirements for credit risk.

解释：

B is correct. Statement b. is false because Basel II also covers operational risk. Banks can provide inputs but cannot use their internal models for credit risk, so statement d. is true.

老师好，我看你在其他同学问题下面回答说银行最多最多可以算算参数，最终计算captial requirement的模型还是监管公布的。

但是D对的原因难道不是因为不能用internal models approach计算credit risk，credit risk是internal ratings-based approach啊

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1 个答案

袁园_品职助教 · 2021年05月11日

同学你好！

你说的没错，internal models approrach（内部模型法）是计量市场风险的

但是D说的是用自己内部的模型（internal model 不是 internal model approach）来计算，这个说法不对，因为模型是监管机构给的，银行只是自己估计input

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