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梦梦 · 2025年04月22日

这块儿能仔细讲讲吗？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000043

问题如下：

For regulatory capital calculation purposes, what market risks must be incorporated into a bank's VAR estimate?

选项：

A.

Risks in the trading account relating to interest rate risk and equity risk

B.

Risks in the trading account relating to interest rate risk and equity risk, and risks throughout the bank related to foreign exchange and commodity risks

C.

Risks throughout the bank related to interest rate risk, equity risk, foreign exchange risk, and commodity risk

D.

Interest rate risk, equity risk, foreign exchange risk, and commodity risk in the trading account only

解释：

B is correct. In addition to all the risks in the trading book (interest rate, equity, foreign exchange, commodity), the market capital charges also include foreign exchange and commodity risks in the banking book.

老师好，banking book的资产要计算信用风险，而trading book的资产要计算市场风险，对吗？计算信用风险不用var啊，不是有三种方法，（1）基本法，（2）内部评级基础法，（3）内部评级高级法。都是估计pd led ead 和M跟Var没关系吧？所以市场风险应该就是对tading book的资产进行估计，应该选D吧？

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1 个答案

李坏_品职助教 · 2025年04月22日

嗨，爱思考的PZer你好：


题目问你，哪一个选项必须纳入银行的VAR测算？

D选项说的是只需要对trading book里面的哪几项计算VAR，这个是不对的。


如果是banking book里面包含 foreign exchange and commodity risks，那也需要纳入VAR计算。



banking book主要是纳入一些计划持有至到期的投资项目，银行这种金融机构长期持有的资产中，也是有可能涉及到大宗商品（commidity）的，所以banking book中是有可能包括commidity risk的，这也是要计算VAR的。


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