开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

我们 · 2020年05月28日

问一道题：NO.PZ2016072602000055

  1. FRM II
  2. Basel Accord

问题如下：

You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the standardized approach to report options exposure instead of the internal models approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?

选项：

A.

The bank writes options, but its options trading is insignificant in relation to its overall business activities.

B.

The bank purchases and writes options and has significant option trading.

C.

The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.

D.

The bank purchases and writes options, but its option trading is insignificant.

解释：

C is correct. A bank can use the simplified approach only if it purchases options and its option trading is not significant. Otherwise, it is required to use the intermediate approach. Another way to look at the question is that answer c. contains the weakest conditions (i.e., those least likely to lead to a large loss).

请问这个题是什么意思呢？没有看懂

添加评论
2 个答案

品职答疑小助手雍 · 2020年06月07日

市场风险的叫standard measurement approach 差一个单词，这几个风险的度量方法的名字是没有完全重复的。

品职答疑小助手雍 · 2020年05月28日

嗨，爱思考的PZer你好：


这题如果从做题的角度的话，直接就抓住最后一句用简单的模型，那肯定是要选一个相关业务风险最小的情景来。而C就是最小的，买期权亏损有限，收益无限，同时这类业务不中主要业务。

从另一个角度看：internal models approach是市场风险里的方法，而standardized approach是信用风险里的方法，也间接说明了涉及信用风险的肯定是只买了期权的头寸，然后从要使用更简单的模型考虑，就选这部分业务insignificant就只有C了。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


摇了摇头 · 2020年06月06日

老师我看市场风险里也有标准法呀

  • 2

    回答

  • 2

    关注

  • 423

    浏览
相关问题

NO.PZ2016072602000055 问题如下 You are analyst Bank AlphYou were given the task to termine whether unr Basel II your bank cuse the stanrzeapproato report options exposure insteof the internmols approach. Whiof the following criteria woulyour bank have to satisfy in orr for it to use the simplifieapproach? The bank writes options, but its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options anhsignificant option trang. The bank solely purchases options, and its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options, but its option trang is insignificant. C is correct. A bank cuse the simplifieapproaonly if it purchases options anits option trang is not significant. Otherwise, it is requireto use the intermeate approach. Another wto look the question is thanswer c. contains the weakest contions (i.e., those least likely to leto a large loss). 如题

2023-03-31 15:00 1 · 回答

NO.PZ2016072602000055 问题如下 You are analyst Bank AlphYou were given the task to termine whether unr Basel II your bank cuse the stanrzeapproato report options exposure insteof the internmols approach. Whiof the following criteria woulyour bank have to satisfy in orr for it to use the simplifieapproach? The bank writes options, but its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options anhsignificant option trang. The bank solely purchases options, and its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options, but its option trang is insignificant. C is correct. A bank cuse the simplifieapproaonly if it purchases options anits option trang is not significant. Otherwise, it is requireto use the intermeate approach. Another wto look the question is thanswer c. contains the weakest contions (i.e., those least likely to leto a large loss). 老师A只是short一个期权而且与业务不相关，我看解析的意思用另一种想法就是short option风险高？所以不选？

2022-11-04 17:40 1 · 回答

NO.PZ2016072602000055 You are analyst Bank AlphYou were given the task to termine whether unr Basel II your bank cuse the stanrzeapproato report options exposure insteof the internmols approach. Whiof the following criteria woulyour bank have to satisfy in orr for it to use the simplifieapproach? The bank writes options, but its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options anhsignificant option trang. The bank solely purchases options, anits options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options, but its option trang is insignificant. C is correct. A bank cuse the simplifieapproaonly if it purchases options anits option trang is not significant. Otherwise, it is requireto use the intermeate approach. Another wto look the question is thanswer contains the weakest contions (i.e., those least likely to leto a large loss). 如题

2022-03-10 21:37 1 · 回答

NO.PZ2016072602000055 You are analyst Bank AlphYou were given the task to termine whether unr Basel II your bank cuse the stanrzeapproato report options exposure insteof the internmols approach. Whiof the following criteria woulyour bank have to satisfy in orr for it to use the simplifieapproach? The bank writes options, but its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options anhsignificant option trang. The bank solely purchases options, anits options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options, but its option trang is insignificant. C is correct. A bank cuse the simplifieapproaonly if it purchases options anits option trang is not significant. Otherwise, it is requireto use the intermeate approach. Another wto look the question is thanswer contains the weakest contions (i.e., those least likely to leto a large loss). 这一道题A有什么问题

2021-04-03 16:50 3 · 回答

You are analyst Bank AlphYou were given the task to termine whether unr Basel II your bank cuse the stanrzeapproato report options exposure insteof the internmols approach. Whiof the following criteria woulyour bank have to satisfy in orr for it to use the simplifieapproach? The bank writes options, but its options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options anhsignificant option trang. The bank solely purchases options, anits options trang is insignificant in relation to its overall business activities. The bank purchases anwrites options, but its option trang is insignificant. C is correct. A bank cuse the simplifieapproaonly if it purchases options anits option trang is not significant. Otherwise, it is requireto use the intermeate approach. Another wto look the question is thanswer contains the weakest contions (i.e., those least likely to leto a large loss). internmol approach是衡量市场风险的呀 stanrzeapproach是衡量信用风险 这俩都不是衡量一个东西怎么比较呢？

2020-10-12 13:08 1 · 回答