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徐威廉 · 2024年10月02日

banking book里面为什么会包含commodity risk？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000043

问题如下：

For regulatory capital calculation purposes, what market risks must be incorporated into a bank's VAR estimate?

选项：

A.

Risks in the trading account relating to interest rate risk and equity risk

B.

Risks in the trading account relating to interest rate risk and equity risk, and risks throughout the bank related to foreign exchange and commodity risks

C.

Risks throughout the bank related to interest rate risk, equity risk, foreign exchange risk, and commodity risk

D.

Interest rate risk, equity risk, foreign exchange risk, and commodity risk in the trading account only

解释：

B is correct. In addition to all the risks in the trading book (interest rate, equity, foreign exchange, commodity), the market capital charges also include foreign exchange and commodity risks in the banking book.

banking book里面为什么会包含commodity risk？

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李坏_品职助教 · 2024年10月02日

嗨，努力学习的PZer你好：


banking book主要是纳入一些计划持有至到期的投资项目，银行这种金融机构长期持有的期货合约中，也是有可能涉及到大宗商品（commidity）的，所以banking book中是包括commidity risk的。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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