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臧小玉 · 2022年03月05日

B与C差别

  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.

请问，b选项与c选项不是表达的同一个意思么？

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DD仔_品职助教 · 2022年03月05日

嗨，从没放弃的小努力你好：


同学你好，

只有trading book里的风险我们才考虑，C说的throughout the bank代表trading和banking都考虑，所以不对。

----------------------------------------------
努力的时光都是限量版，加油！

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