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金融民工阿聪 · 2020年09月04日

问一道题：NO.PZ2016072602000056

  1. FRM II
  2. Basel Accord

问题如下：

Under the Basel II Capital Accord, banks that have obtained prior regulatory approval can use the internal models approach to estimate their market risk capital requirement. What approach or methodology is used under the internal models approach to compute capital requirements?

选项：

A.

Internal rating and vendor models

B.

Stress-testing and backtesting

C.

Expected tail loss, as VAR is not a coherent measure of risk

D.

VAR methodology

解释：

D is correct. The internal models approach is based on the banks' internal VAR methodology.

VaR methology是什么意思。。。

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1 个答案

袁园_品职助教 · 2020年09月04日

同学你好！

VAR methodology 就是说 the method of VaR，即 VaR 这种方法。

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