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🌻🎀LINDA🎀🌻 · 2022年11月15日

不懂为什么Credit比Operation的riskcapital多

  1. FRM II
  2. Operational Risk and Resiliency

NO.PZ2016072602000030

问题如下：

Large banks typically allocate risk capital for credit, operational, and market/ALM risks. Which of the following statements ranks the typical amount of risk capital allocated to these different risks correctly?

选项：

A.

Market/ALM risk requires more risk capital than credit risk.

B.

Credit risk requires more risk capital than market/ALM risk, which requires more risk capital than operational risk.

C.

Market/ALM risk requires more risk capital than operational risk but less than credit risk.

D.

Credit risk requires more risk capital than operational risk, which requires more risk capital than market/ALM risk.

解释：

D is correct. For most global banks, the order of importance is, first, credit risk, then operational risk, then market/ALM risk. Also, answers b. and c. are the same.

不是credit 和operation一样多吗？



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1 个答案

DD仔_品职助教 · 2022年11月15日

嗨，努力学习的PZer你好：


同学你好，这里讲的是哪个risk需要的资本金多，不是比较他们的VaR的区间大小。

他俩VaR用的置信区间是一样的，但是在国际市场上信用风险所造成的loss是比操作风险高很多的，所以是需要准备最多的capital给CR，然后是OR，其次是MR。

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