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Wenny · 2020年09月28日

问一道题:NO.PZ2016070201000026 [ FRM II ]

问题如下:

Which of the following statements is considered to be a drawback of the current Basel framework for risk measurement?

选项:

A.

Risk measurement focuses exclusively on VaR analysis.

B.

The current regulatory system encourages more risk-taking when times are good.

C.

There is not enough focus on a compartmentalized approach to risk assessment.

D.

There is not a feedback loop via the pricing of risk.

解释:

Institutions have a tendency to buy more risky assets when prices of assets are rising.

为啥不选c呢?basel主要测量的是各个业务线风险加总
1 个答案

品职答疑小助手雍 · 2020年09月29日

嗨,从没放弃的小努力你好:


basel 2&3考虑了市场、信用、操作风险,而basel 3还强调了流动性风险,对于相应指标的计算方法和标准都规范的很明确了,最终结果是加总但不代表不关注每种风险的计量。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!