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12345678wdv · 2024年11月07日

the market risk capital charge 和 RWA 两个概念之间的联系

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000060

问题如下：

As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the 1996 internal models approach. The VAR (95%, one-day) of the last trading day is USD 30,000; the average VAR (95%, one-day) for the last 60 trading days is USD 20,000. The multiplier is k=3. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk capital charge of the trading portfolio?

选项：

A.

USD 84,582

B.

USD 189,737

C.

USD 268,200

D.

USD 134,594

解释：

C is correct. The average VAR times 3 is USD 60,000. Because this is higher than yesterday's VAR, this is the binding number. Multiplying by 10\sqrt{10} x 2.323/1.645 = 4.47 gives USD 268,200.

the market risk capital charge 就是理解为 VaR capital loss?

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pzqa27 · 2024年11月07日

嗨，从没放弃的小努力你好：


capital 本身就是用来应对风险的，这里使用VaR计量风险，所以这market risk capital charge 等价于VaR

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