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410140980 · 2022年11月04日

为什么不选A呢

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000055

问题如下：

You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the standardized approach to report options exposure instead of the internal models approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?

选项：

A.

The bank writes options, but its options trading is insignificant in relation to its overall business activities.

B.

The bank purchases and writes options and has significant option trading.

C.

The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.

D.

The bank purchases and writes options, but its option trading is insignificant.

解释：

C is correct. A bank can use the simplified approach only if it purchases options and its option trading is not significant. Otherwise, it is required to use the intermediate approach. Another way to look at the question is that answer c. contains the weakest conditions (i.e., those least likely to lead to a large loss).

老师A只是short一个期权而且与业务不相关，我看解析的意思用另一种想法就是short option风险高？所以不选？

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1 个答案

DD仔_品职助教 · 2022年11月05日

嗨，从没放弃的小努力你好：


银行卖出了一个期权，敞口非常大，就完全不可以使用simplified approach。不管与业务想不想关，short 方卖出权利，只有亏钱的可能性了，所以敞口太大用简单的方法是不够用的。

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