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追风少年NKU · 2021年10月27日

我记得basel这章哪里讲过banking book也是有interest risk的

  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.

你好，我记得basel这章哪里讲过，banking book也是有interest risk的？

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1 个答案

DD仔_品职助教 · 2021年10月28日

嗨，爱思考的PZer你好：


这个知识点在我们的section 2，下图是强化讲义第9页的相关内容。老师在强化课上有强调，关于banking book确实是有int rate risk的，但是，巴塞尔二底下没有考虑到，这里是一个结论性质的知识点，同学要记忆的

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