关于ES和VaR stressed VaR

问题如下：

A regulatory analyst at a large multinational bank is examining regulatory requirements the bank must comply with under the Basel Committee’s FRTB guidelines. The analyst explores how the FRTB guidelines evolved from the Basel I and Basel II.5 frameworks as well as the instructions for applying the guidelines. Which of the following is correct regarding the FRTB?(Practice Exam)

选项：

A.

While Basel I and Basel II.5 allowed market risk to be calculated at the trading desk level, FRTB requires that market risk be calculated on a firm-wide basis.

B.

While Basel I and Basel II.5 emphasized the use of a standardized approach to calculating market risk, FRTB encourages each bank to develop and rely on an internal models approach.

C.

FRTB standardizes the liquidity horizon used for all risk factors in the market risk capital calculation as 10 days, rather than the different horizons used in Basel I and Basel II.5.

D.

FRTB requires that the stressed ES measure be used in determining market risk capital, rather than the VaR and stressed VaR measures that were used in Basel I and Basel II.5, respectively.

解释：

D is correct. The Basel committee has moved from the VaR and stressed VaR measures used in Basel I and Basel II.5 to the stressed ES measure used in FRTB.

A is incorrect. The reasoning is reversed. FRTB allows market risk to be calculated at the trading desk level.

B is incorrect. The FRTB is a culmination of Basel committee efforts to place less reliance on internal models approach. Under FRTB, all banks must calculate market risk capital using a standardized approach, even if they have been approved to use an internal models approach.

C is incorrect. The FRTB introduces 5 different liquidity horizons that are better matched to the liquidity horizons of different risk factors than the earlier 10-day horizons used in Basel I and Basel II.5.