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shawnone · 2025年05月07日

关于B选项

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

B.

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

C.

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

D.

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

1 个答案
已采纳答案

李坏_品职助教 · 2025年05月07日

嗨,爱思考的PZer你好:


B选项描述的standardized approach在Basel III里面依然可以用,只是说这个方法存在一些弊端,主要是忽略了风险之间的分散化效果。


B选项本身是属于Basel III里面继续使用的方法,所以B正确。

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