NO.PZ2019070901000092
问题如下：
According to incremental risk charge calculation, banks are required to:
选项：
A. estimate a liquidity horizon for each instrument in the portfolio and rebalance their portfolios at the end of the liquidity horizon.
B. build up a buffer of Tier 1 equity capital equal to 2.5% of risk- weighted assets in normal times.
C. focuses on its ability to weather a 30-day period of reduced/disrupted liquidity.
D. calculate the VaR using a 250-day period of stressed market conditions.
解释：
A is correct.
考点：the incremental risk charge
解析：
计算IRC (the incremental risk charge)时，银行需要估计组合中每种工具的liquidity horizon。例如，假设组合中一个AA+级的债券的liquidity horizon为3个月，如果3个月之后债券违约或者信用评级下降，银行将会使用另一个AA+级的债券来替代该债券。组合调整的频率取决于liquidity horizon，在进行这样的调整时，银行可能因为债券信用评级下调而遭受一定的损失，但通常情况下可以规避债券的default risk。选项A正确
选项B、C、D分别是capital conservation buffer, liquidity coverage ratio 和 the stressed VaR的计算方式。
老师我翻了基础班讲义136 137页，没找到A的介绍呢