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ALLA · 2019年08月26日

问一道题:NO.PZ2016072602000030

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


老师您好,请问ALM risk是什么?在讲义的哪个部分有关于ALM risk的介绍?

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品职答疑小助手雍 · 2019年08月26日

同学你好,ALM,即asset-liability management,这也不算是个知识点吧,就是对资产和负债的管理。本题主要还是记一个实证研究的结论,就是信用风险require的比operational多,比market多。

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NO.PZ2016072602000030 问题如下 Large banks typically allocate risk capital for cret, operational, anmarket/ALM risks. Whiof the following statements ranks the typicamount of risk capitallocateto these fferent risks correctly? Market/ALM risk requires more risk capitthcret risk. Cret risk requires more risk capital thmarket/ALM risk, whirequires more risk capitthoperationrisk. Market/ALM risk requires more risk capitthoperationrisk but less thcret risk. Cret risk requires more risk capital thoperationrisk, whirequires more risk capitthmarket/ALM risk. is correct. For most globbanks, the orr of importanis, first, cret risk, then operationrisk, then market/ALM risk. Also, answers anare the same. 不是cret 和operation一样多吗?

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