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梦梦 · 2025年03月29日

关于capital multiplier

NO.PZ2020033001000089

问题如下:

Backtesting of actual losses to VaR calculations is required according to the Basel Committee. How many exceptions occur in a 250-day trading period would result in increasing the capital multiplier from three to four?

选项:

A.

zero to four

B.

four to seven

C.

seven to nine

D.

ten to more

解释:

D is correct.

考点:Backtesting VaR

解析:

If there is ten or more backtesting violations, capital multiplier need to be increased from three to four.

老师好,这里的“capital multiplier ”能举个应用场景的例子吗?

1 个答案

李坏_品职助教 · 2025年03月29日

嗨,努力学习的PZer你好:


这个multiplied就是惩罚因子,对于严重违反了VaR backtesting结果的银行,要加大惩罚因子的力度。


资本乘数(k)用于调整银行的最低监管资本要求。具体应用逻辑如下:

  1. 基础计算:假设银行每天的资本金要求是根据VaR算出来的,假设银行99%的VaR是1亿美元;
  2. 资本要求公式:最低资本要求 = 1亿× 资本乘数(k);
  3. 惩罚机制
  • 若例外次数≤4次(绿色区域),k=3 → 资本要求=1亿×3=3亿美元;
  • 若例外次数≥10次(红色区域),k=4 → 资本要求=1亿×4=4亿美元。

实际影响:当k从3升至4时,银行需额外持有33%的资本(从3亿增至4亿),以应对模型缺陷或市场极端波动带来的潜在风险。这直接增加了银行的运营成本,并可能限制其风险敞口。

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努力的时光都是限量版,加油!

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