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12345678wdv · 2024年11月07日

C 选项是在哪里提到的呢，Basel 2.5之后吗？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000056

问题如下：

Under the Basel II Capital Accord, banks that have obtained prior regulatory approval can use the internal models approach to estimate their market risk capital requirement. What approach or methodology is used under the internal models approach to compute capital requirements?

选项：

A.

Internal rating and vendor models

B.

Stress-testing and backtesting

C.

Expected tail loss, as VAR is not a coherent measure of risk

D.

VAR methodology

解释：

D is correct. The internal models approach is based on the banks' internal VAR methodology.

如题

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李坏_品职助教 · 2024年11月07日

嗨，努力学习的PZer你好：


Expected Shortfall期望损失,又称 Conditional VaR(条件风险价值)，或Expected Tail Loss(期望尾部损失)。


所以C选项那个说的就是Expected Shortfall。而internal model approach是用VaR方法度量风险的，所以不能选C。

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