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410140980 · 2022年11月04日

计量市场风险

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000056

问题如下：

Under the Basel II Capital Accord, banks that have obtained prior regulatory approval can use the internal models approach to estimate their market risk capital requirement. What approach or methodology is used under the internal models approach to compute capital requirements?

选项：

A.

Internal rating and vendor models

B.

Stress-testing and backtesting

C.

Expected tail loss, as VAR is not a coherent measure of risk

D.

VAR methodology

解释：

D is correct. The internal models approach is based on the banks' internal VAR methodology.

老师A选项是不是在说信用风险啊，用内部评级和引入第三方外部评级

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1 个答案

pzqa27 · 2022年11月05日

嗨，从没放弃的小努力你好：


信用风险资本金计量根据巴塞尔协会要求，使用的是标准法和内部评级法，没有这个vendor model

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