NO.PZ2023102101000029
问题如下：
Which of the following statements is not true regarding
the Fundamental Review of the Trading Book (FRTB) for market risk capital
calculations?
选项：
A.
FRTB demands banks to abandon the combination of a
10-day, 99% VaR with a 250-day stressed VaR
B.
FRTB uses expected shortfall (ES) with a 97.5%
confidence level
C.
FRTB requires adding a stressed VaR measure to
complement the expected shortfall calculation
D.
For normal distributions, VaR with a 99% confidence
and ES with a 97.5% confidence are almost exactly the same
解释：
The FRTB does not require adding a stressed VaR to the
expected shortfall calculation. It was Basel 11.5 that required the addition of
a stressed VaR.
A可以也解释下吗，谢谢！
