NO.PZ2023091802000002
问题如下：
A risk analyst at a financial institution is preparing a report oncapital requirements for the senior management team to be used in risk appetitediscussions. The analyst compares regulatory capital and economic capitalrequirements in the report. Which of the following statements is correct forthe analyst to include in the report?
选项：
A.
The regulatory capital for credit risk is designed to be sufficient to cover a loss that is expected to be exceeded only once every ten years.
B.
Regulatory capital is sometimes referred to as going concern capital because it absorbs losses incurred while the bank is still in business.
C.
The most important capital for a bank is regulatory capital, which equals the bank’s estimate of its expected losses.
D.
Economic capital is an internal risk measure that reflects the amount of capital needed to ensure a company remains solvent with a high level of confidence, given its risk profile.
解释：
D is correct. Economic capital is a bank’s own estimate of thecapital it requires. In both cases, capital can be thought of as funds that areavailable to absorb unexpected losses. A common objective in calculatingeconomic capital is to maintain a high credit rating. Economic capital isallocated to a bank’s business units so that they can be compared using areturn on allocated economic capital metric.
A is incorrect. The regulatory capital for credit risk isdesigned to be sufficient to cover a loss that is expected to be exceeded onlyonce every thousand years.
B is incorrect. Equity capital is sometimes referred to as goingconcern capital because it absorbs losses while the bank is a going concern(i.e., it remains in business).
C is incorrect. The most important capital is equity capital.
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