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和棋 · 2021年04月03日

这一道题A有什么问题

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000055

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).

这一道题A有什么问题

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3 个答案

品职答疑小助手雍 · 2023年07月27日

所以不选A啊

小刘_品职助教 · 2021年04月05日

同学你好，

这个simplified approach不是一个专有名词，讲义上没有～～你可以把他理解成简单粗暴的方法就可以，要想用更简单的、计量更不精确的标准法，肯定就要选一个最简单的、对风险计量要求最低的条件，也就是最安全的一个情景，即C描述的买 option 且 insignificant，如果考试出到了，就选一个敞口最小最安全的场景就可以啦～

小刘_品职助教 · 2021年04月05日

同学你好，

因为选项A是银行卖出了一个期权，敞口非常大，就完全不可以使用simplified approach。

410140980 · 2023年07月26日

老师卖出期权不是没有exposure的吗

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