A选项

问题如下：

Pillar 1 of the Basel II framework allows banks to use various approaches to calculate the capital requirements for credit risk, operational risk and market risk. Which of the following Basel II approaches allows a bank to explicitly recognize diversification benefits? (Practice Exam)

选项：

A.

The internal models approach for market risk

B.

The internal ratings based approach for credit risk

C.

The basic indicator approach for operational risk

D.

The standardized approach for operational risk

解释：

The internal models approach allows banks to use risk measures derived from their own internal risk management models, subject to a set of qualitative conditions and quantitative standards. In terms of risk aggregation within market risk, banks are explicitly allowed to recognize empirical correlations across broad market risk categories, and, thus, diversification benefits.