NO.PZ2023102101000043
问题如下：
Which of the following statements is not true
regarding the calculation of the market risk capital requirement?
选项：
A.
The Basel II.5 adds a stress VaR and an incremental risk charge.
B.
The incremental risk charge computed on at least
weekly.
C.
The incremental risk charge is calculated by using a
99% two-tail confidence interval.
D.
The average value of stress VaR in the preceding 60
business days is taken into account.
解释：
The equation for calculating IRC requirement
uses a 99.9% one-tail confidence interval.
老师您好，请问这是哪个知识点里面的内容呀？可以解释一下这道题嘛？谢谢老师
