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Pina · 2021年11月16日

NO.PZ2020021601000007

问题如下:

Viktoria Smith is a recently hired junior analyst at Aries Investments. Smith and her supervisor, Ingrid Johansson, meet to discuss some of the firm’s investments in banks and insurance companies.

Johansson asks Smith to review key performance ratios for ABC Bank, a bank in which Aries is invested. The ratios are presented in Exhibit 2.

* Note: VaR amounts are in millions and are based on a 99% confidence interval and a single-day holding period.

Based on Exhibit 2, Smith and Johansson should conclude that over the past three years, ABC Bank’s:

选项:

A.

liquidity position has declined.

B.

capital adequacy has improved.

C.

sensitivity to market risk has improved.

解释:

C is correct.

Over the past three years, there has been a downward trend in the two VaR measures-total trading VaR (all market risk factors) and total trading and credit portfolio VaR. This trend indicates an improvement in ABC Bank’s sensitivity, or a reduction in its exposure, to market risk. The two liquidity measures-the liquidity coverage ratio and the net stable funding ratio-have increased over the past three years, indicating an improvement in ABC Bank’s liquidity position. Trends in the three capital adequacy measures-common equity Tier 1 capital ratio, Tier 1 capital ratio, and total capital ratio-indicate a decline in ABC Bank’s capital adequacy. While the total capital ratio has remained fairly constant over the past three years, the common equity Tier 1 capital ratio and the Tier 1 capital ratio have declined. This trend suggests that ABC Bank has moved toward using more Tier 2 capital and less Tier 1 capital, indicating an overall decline in capital adequacy.

解析:A错误。衡量流动性要看liquidity coverage ratio和net stable funding ratio,对这两个比率的要求是≥100%且越大越好,这两个ratio都上升了,说明流动性状况改善了。

B错误。给了三个资本充足率,其中最重要的是 common equity Tier 1 capital ratio,这个比率变低了,说明能够覆盖风险资产的资本金变少了,资本充足状况变差了。

C正确。衡量对市场风险的敏感程度要看VaR指标,表格中给了两个VaR,我们主要看第一个VaR(市场风险),VaR变小的意思是最大损失变小了,说明市场风险变小,该指标改善。

老师好 这题为什么不比较 total trading var / total trading and credit VAR 的占比?谢谢。

1 个答案

袁园_品职助教 · 2021年11月16日

嗨,从没放弃的小努力你好:


因为Var直接就是衡量市场风险的指标啊,求占比是没有什么实际含义。在CAMEL知识点考查里面我们只要记住结论就可以了,比如衡量risk是用啥,衡量liquidity是用啥,不需要自己去创造指标哦。

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NO.PZ2020021601000007 问题如下 Viktoria Smith is a recently hirejunior analyst Aries Investments. Smith anher supervisor, IngriJohansson, meet to scuss some of the firm’s investments in banks aninsurancompanies.Johansson asks Smith to review key performanratios for ABank, a bank in whiAries is investe The ratios are presentein Exhibit 2.* Note: Vamounts are in millions anare baseon a 99% confinintervana single-y holng perioBaseon Exhibit 2, Smith anJohansson shoulconclu thover the past three years, ABank’s: A.liquity position hcline B.capitaquahimprove C.sensitivity to market risk himprove C is correct.Over the past three years, there hbeen a wnwartrenin the two Vmeasures-tottrang V(all market risk factors) antottrang ancret portfolio VaR. This trenincates improvement in ABank’s sensitivity, or a rection in its exposure, to market risk. The two liquity measures-the liquity coverage ratio anthe net stable funng ratio-have increaseover the past three years, incating improvement in ABank’s liquity position. Tren in the three capitaquameasures-common equity Tier 1 capitratio, Tier 1 capitratio, antotcapitratio-incate a cline in ABank’s capitaquacy. While the totcapitratio hremainefairly constant over the past three years, the common equity Tier 1 capitratio anthe Tier 1 capitratio have cline This trensuggests thABank hmovetowarusing more Tier 2 capitanless Tier 1 capital, incating overall cline in capitaquacy.解析A错误。衡量流动性要看liquity coverage ratio和net stable funng ratio,对这两个比率的要求是≥100%且越大越好,这两个ratio都上升了,说明流动性状况改善了。B错误。给了三个资本充足率,其中最重要的是 common equity Tier 1 capitratio,这个比率变低了,说明能够覆盖风险资产的资本金变少了,资本充足状况变差了。C正确。衡量对市场风险的敏感程度要看VaR指标,表格中给了两个VaR,我们主要看第一个VaR(市场风险),VaR变小的意思是最大损失变小了,说明市场风险变小,该指标改善。 C为啥只看倒数第二行,不看最后一行?cret的VaR在变差?

2024-05-03 13:01 1 · 回答

NO.PZ2020021601000007 var变小不是市场风险变小吗?为啥反而变敏感了

2021-07-12 23:08 1 · 回答