如题

问题如下：

Which of the following risks is specifically recognized by the incremental risk charge (IRC)?

选项：

A.

Expected shortfall risk, because it is important to understand the amount of loss potential in the tail.

B.

Jump-to-default risk, as measured by 99.9% VaR, because a default could cause a significant loss for the bank.

C.

Equity price risk, because a change in market prices could materially impact mark-to-market accounting for risk.

D.

Interest rate risk, as measured by 97.5% expected shortfall, because an increase in interest rates could cause a significant loss for the bank

解释：

The two types of risk recognized by the incremental risk charge are: (1) credit spread risk, and (2) jump-to-default risk. Jump-to-default risk is measured by 99.9% VaR and not 97.5% expected shortfall.