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金金有味 · 2024年11月12日

能把每个选项解释一下吗？

  1. FRM II
  2. Basel Accord

NO.PZ2023102101000059

问题如下：

Capital conservation buffers have been established by the Basel Committee as part of measures designed to ensure that banks have enough capital to handle stress situations. Assuming no regulatory add-ons have been imposed, which of the following is correct? (Important)

选项：

A.

If the bank has 8%Common Equity Tier 1(CET1) capital with no Additional Tier 1or Tier 2 capital.it would have zero conservation buffer and therefore be subject to a 100% constraint on capital distributions

B.

If the bank has 8%CET1with no Additional Tier1 or Tier 2 capital, it would satisfy the zero conservation buffer and therefore not be subjected to a constraint on capital distributions

C.

If the bank has 7%CET1 with no Additional Tier1 or Tier 2 capital; it would have a 2.5% conservation buffer and therefore not be subjected to a constraint on capital distributions

D.

If the bank has 9.5%CET1 with no Additional Tier 1orTier 2 capital, it would have a 2.5% conservation buffer and therefore not be subjected to a constraint on capital distributions

解释：

能把每个选项解释一下吗？

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已采纳答案

pzqa39 · 2024年11月12日

嗨，爱思考的PZer你好：


A选项说只有8%的common equity tier1，没有其他的tier1和tier2，其实就相当于没有buffer，因为我们对total capital的最低要求就是8%。既然没有buffer就说明没有达到2.5%buffer的最优水平，所以会对capital distribution有限制，比如不允许分红、回购股份、给高管发奖金等等


B选项同样是8%的common equity tier1，没有其他的tier1和tier2，但是“satisfy the zero conservation buffer ”这里就错了，我们对buffer的要求不是0而是2.5%


C说7%就更不对了，连最低资本要求都没有达到。


D选项有9.5%的CET1，有1.5%的buffer，但是仍然没有满足2.5%的最优要求，所以也应该是有限制的。D选项“would have a 2.5% conservation buffer and therefore not be subjected to a constraint on capital distributions”说法是错误的

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