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仙子伊布 · 2025年05月14日

D选项问题

NO.PZ2023102101000029

问题如下:

Which of the following statements is not true regarding the Fundamental Review of the Trading Book (FRTB) for market risk capital calculations?

选项:

A.

FRTB demands banks to abandon the combination of a 10-day, 99% VaR with a 250-day stressed VaR

B.

FRTB uses expected shortfall (ES) with a 97.5% confidence level

C.

FRTB requires adding a stressed VaR measure to complement the expected shortfall calculation

D.

For normal distributions, VaR with a 99% confidence and ES with a 97.5% confidence are almost exactly the same

解释:

The FRTB does not require adding a stressed VaR to the expected shortfall calculation. It was Basel 11.5 that required the addition of a stressed VaR.

根据何老师的描述,97.5%的ES是等于99%的SVAR,D选项描述的是VAR,这种情况可以认为是正确的吗?

0 个答案