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