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和棋 · 2020年10月27日

问一道题：NO.PZ2019070901000096

  1. FRM II
  2. Basel Accord

问题如下：

The Basel market risk capital calculation has changed from Basel I, Basel II.5 to the Fundamental Review of the Trading Book (FRTB). Which of the following correctly describe the change?

选项：

A.

According to FRTB, the expected shortfall should be calculated with a 99% confidence interval.

B.

Under this FRTB proposal, banks would be required to combine a 10-day, 99% VaR with a 250-day stressed VaR

C.

A 99% value a risk(VaR) is used as a measure for market risk in the Basel I and Basel II.5.

D.

The stressed VaR was first added in Basel II.5, which measures the behavior of market variables during a 10-day period of stressed market conditions.

解释：

C is correct.

考点：Basel I, Basel II.5和FRTB中的市场风险

解析：

Basel I和Basel II.5中的VaR都是99%的置信度，选项C正确。

FRTB中的expected shortfall的置信度为97.5%，选项A错误。

根据FRTB，银行仅仅应该计算expected shortfall，选项B错误。

Basel II.5中增加了stressed VaR，但应该在250天的市场极端情况下计算，因此D选项错误。

如何理解D选项，用的是10天的Var但是是250天的数据？

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1 个答案

小刘_品职助教 · 2020年10月28日

同学你好，

D选项描述是错误的，应该是用250天的VAR。

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