开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

滴滴姐姐~ · 2021年11月01日

来问问C。。。

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000096

问题如下：

The Basel market risk capital calculation has changed from Basel I, Basel II.5 to the Fundamental Review of the Trading Book (FRTB). Which of the following correctly describe the change?

选项：

A.

According to FRTB, the expected shortfall should be calculated with a 99% confidence interval.

B.

Under this FRTB proposal, banks would be required to combine a 10-day, 99% VaR with a 250-day stressed VaR

C.

A 99% value a risk(VaR) is used as a measure for market risk in the Basel I and Basel II.5.

D.

The stressed VaR was first added in Basel II.5, which measures the behavior of market variables during a 10-day period of stressed market conditions.

解释：

C is correct.

考点：Basel I, Basel II.5和FRTB中的市场风险

解析：

Basel I和Basel II.5中的VaR都是99%的置信度，选项C正确。

FRTB中的expected shortfall的置信度为97.5%，选项A错误。

根据FRTB，银行仅仅应该计算expected shortfall，选项B错误。

Basel II.5中增加了stressed VaR，但应该在250天的市场极端情况下计算，因此D选项错误。

A 99% value a risk(VaR) is used as a measure for market risk in the Basel I and Basel II.5.


C里这个Basel 2.5不是还包括IRC吗。。。这个IRC不是99.9%吗。。。秒排除 的C。。。

添加评论
1 个答案

DD仔_品职助教 · 2021年11月02日

嗨，从没放弃的小努力你好：


这题感觉在考英语阅读，C说的是用来衡市场风险的VaR是99%的，但是你说的计算方法是针对market risk charge里的一部分IRC，IRC虽然被算作了MRC的一部分，但是实质上它是衡量信用风险的，所以他的VaR与credit risk一样是99.9%

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 717

    浏览
相关问题

NO.PZ2019070901000096 问题如下 The Basel market risk capitcalculation hchangefrom Basel I, Basel II.5 to the FunmentReview of the Trang Book (FRTB). Whiof the following correctly scrithe change? A.Accorng to FRTthe expecteshortfall shoulcalculatewith a 99% confininterval. B.Unr this FRTB proposal, banks woulrequireto combine a 10-y, 99% Vwith a 250-y stresseV C.A 99% value a risk(VaR) is usea measure for market risk in the Basel I anBasel II.5. The stresseVwfirst aein Basel II.5, whimeasures the behavior of market variables ring a 10-y perioof stressemarket contions. C is correct. 考点Basel I, Basel II.5和FRTB中的市场风险解析Basel I和Basel II.5中的VaR都是99%的置信度，C正确。FRTB中的expecteshortfall的置信度为97.5%，A错误。根据FRTB，银行仅仅应该计算expecteshortfall，B错误。Basel II.5中增加了stresseVaR，但应该在250天的市场极端情况下计算，因此误。 如标题

2023-11-19 21:48 1 · 回答

NO.PZ2019070901000096 问题如下 The Basel market risk capitcalculation hchangefrom Basel I, Basel II.5 to the FunmentReview of the Trang Book (FRTB). Whiof the following correctly scrithe change? A.Accorng to FRTthe expecteshortfall shoulcalculatewith a 99% confininterval. B.Unr this FRTB proposal, banks woulrequireto combine a 10-y, 99% Vwith a 250-y stresseV C.A 99% value a risk(VaR) is usea measure for market risk in the Basel I anBasel II.5. The stresseVwfirst aein Basel II.5, whimeasures the behavior of market variables ring a 10-y perioof stressemarket contions. C is correct. 考点Basel I, Basel II.5和FRTB中的市场风险解析Basel I和Basel II.5中的VaR都是99%的置信度，C正确。FRTB中的expecteshortfall的置信度为97.5%，A错误。根据FRTB，银行仅仅应该计算expecteshortfall，B错误。Basel II.5中增加了stresseVaR，但应该在250天的市场极端情况下计算，因此误。 因为SVaR是II.5要求的 而不是funmentreview要求的吗

2023-11-14 18:54 1 · 回答

NO.PZ2019070901000096 问题如下 The Basel market risk capitcalculation hchangefrom Basel I, Basel II.5 to the FunmentReview of the Trang Book (FRTB). Whiof the following correctly scrithe change? A.Accorng to FRTthe expecteshortfall shoulcalculatewith a 99% confininterval. B.Unr this FRTB proposal, banks woulrequireto combine a 10-y, 99% Vwith a 250-y stresseV C.A 99% value a risk(VaR) is usea measure for market risk in the Basel I anBasel II.5. The stresseVwfirst aein Basel II.5, whimeasures the behavior of market variables ring a 10-y perioof stressemarket contions. C is correct. 考点Basel I, Basel II.5和FRTB中的市场风险解析Basel I和Basel II.5中的VaR都是99%的置信度，C正确。FRTB中的expecteshortfall的置信度为97.5%，A错误。根据FRTB，银行仅仅应该计算expecteshortfall，B错误。Basel II.5中增加了stresseVaR，但应该在250天的市场极端情况下计算，因此误。 老师我想问一下，basel1里面不就是rw嘛，怎么会用到VaR的。C这个是啥意思

2023-05-20 14:59 1 · 回答

NO.PZ2019070901000096 问题如下 The Basel market risk capitcalculation hchangefrom Basel I, Basel II.5 to the FunmentReview of the Trang Book (FRTB). Whiof the following correctly scrithe change? A.Accorng to FRTthe expecteshortfall shoulcalculatewith a 99% confininterval. B.Unr this FRTB proposal, banks woulrequireto combine a 10-y, 99% Vwith a 250-y stresseV C.A 99% value a risk(VaR) is usea measure for market risk in the Basel I anBasel II.5. The stresseVwfirst aein Basel II.5, whimeasures the behavior of market variables ring a 10-y perioof stressemarket contions. C is correct. 考点Basel I, Basel II.5和FRTB中的市场风险解析Basel I和Basel II.5中的VaR都是99%的置信度，C正确。FRTB中的expecteshortfall的置信度为97.5%，A错误。根据FRTB，银行仅仅应该计算expecteshortfall，B错误。Basel II.5中增加了stresseVaR，但应该在250天的市场极端情况下计算，因此误。 老师basel 2.5 应该考虑过去60天的stress var吧？

2022-11-09 16:01 3 · 回答

NO.PZ2019070901000096 问题如下 The Basel market risk capitcalculation hchangefrom Basel I, Basel II.5 to the FunmentReview of the Trang Book (FRTB). Whiof the following correctly scrithe change? A.Accorng to FRTthe expecteshortfall shoulcalculatewith a 99% confininterval. B.Unr this FRTB proposal, banks woulrequireto combine a 10-y, 99% Vwith a 250-y stresseV C.A 99% value a risk(VaR) is usea measure for market risk in the Basel I anBasel II.5. The stresseVwfirst aein Basel II.5, whimeasures the behavior of market variables ring a 10-y perioof stressemarket contions. C is correct. 考点Basel I, Basel II.5和FRTB中的市场风险解析Basel I和Basel II.5中的VaR都是99%的置信度，C正确。FRTB中的expecteshortfall的置信度为97.5%，A错误。根据FRTB，银行仅仅应该计算expecteshortfall，B错误。Basel II.5中增加了stresseVaR，但应该在250天的市场极端情况下计算，因此误。 何理解？用250天压力环境下的数据算10天的VaR才对？

2022-11-08 22:14 1 · 回答