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滴滴姐姐~ · 2021年09月09日

B选项的4个element不是environment吗~~怎么是self assessment了 FRM2就是这么迷惑吗0.o

NO.PZ2019052001000027

问题如下:

Although the Basel committee allows significant flexiblility in the use of advanced measurement approach (AMA), there are three main requirements. The following statements are the requirements except:

选项:

A.

Banks must use 99.9th percentile events with a one-year time horizon.

B.

The measurement of the model should include internal loss data, external loss data, scenario analysis, key risk indecations and self-assessments.

C.

Capital should be used to minimize risks.

D.

Allocate capital in a way that incentivizes good behavior.

解释:

C is correct.

考点:Advanced Measurement Approach

解析:AMA没有在减小风险上有要求。

如题~

1 个答案

李坏_品职助教 · 2021年09月09日

嗨,从没放弃的小努力你好:


B选项的意思是模型的度量应该包括internal loss data,  external loss data, scenario analysis, key risk indecations 这四个再加上self-assessment。


这五个都是模型考虑的因素。

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