NO.PZ2023102101000013
问题如下:
Which of the following is true about the standardized
measurement method for the calculation of market risk under Basel III?
选项:
A.Tier 3 capital is eligible to support market risks calculated by the standardized approah in Basel III
The capital charge is an arithmetic sum of charges
across categories, including interest rate risk, equity position risk, foreign
exchange risk, commodities risk, and options risk
For trading portfolios, according to the Third Pillar
disclosure requirements, the high, mean and low value at risk (VaR) values over
the reporting period must be disclosed
If an equities portfolio is both liquid and well-diversified, the capital charge for general market risk and specific risk is 4.0%
解释:
The capital charge is an arithmetic sum of
charges across categories including interest rate risk, equity position risk,
foreign exchange risk, commodities risk, and options risk. This is why a key
criticism of the standardized approach is that it overcharges by ignoring the
benefits of any diversification.
In regard to (A), this is false: Basel III
abolished Tier 3 capital
In regard to (C), this is false: Third Pillar
does requires these VaR disclosure, but for the internal models approach (IMA)
as they would not be necessary under the standardized approach
In regard to (D), this is false: Basel III eliminated
this provision.
B选项不是巴二计算Market risk 的 standardized approcah吗,而且没有考虑这几个risk之间的correlation