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粉红战狼 · 2022年04月12日

请问这道题的知识点在哪里？

  1. FRM II
  2. Operational Risk and Resiliency

NO.PZ2016072602000017

问题如下：

Which of the following statements regarding Basel II nonadvanced approaches is incorrect?

选项：

A.

The standardized approach makes it advantageous for a bank to book losses early if doing so reduces this year’s gross income sufficiently to make it negative.

B.

Corporate finance, trading and sales, and payment and settlement are the business lines with the highest regulatory capital requirements.

C.

The standardized approach divides the bank into business lines and uses data from the last three years of a business line’s gross income and a beta factor to obtain the regulatory capital for that business line.

D.

The standardized approach uses data from the last three years of gross income to obtain a bank’s operational risk capital charge.

解释：

A is correct. Statement a. is incorrect because only positive income is considered. Statement b. is correct, given Table 25.5. Statements c. and d. are correct as well.

讲义的什么地方写了

？

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1 个答案

李坏_品职助教 · 2022年04月12日

嗨，努力学习的PZer你好：


A选项意思是在标准化方法下，银行提前入账损失是有利的，因为这样做可以减少今年的总收入，使其成为负数。但实际上在标准法下只有正收入才纳入计量，所以A是错误的，选A。


参考基础班讲义 P22:

分子有一个Max，如果GI是负数的话，那么就取0，等于是把negative income的项目忽略了，只考虑positive项目的影响。


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