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和棋 · 2021年04月03日

这个D为什么不正确呢？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000050

问题如下：

Which of the following statements about the Basel II capital requirements is false?

选项：

A.

It increases the risk sensitivity of minimum capital requirements for internationally active banks.

B.

It addresses only credit risk and market risk.

C.

U.S. insurance companies are not required to comply with Basel II capital requirements.

D.

Banks are not allowed to use their internal models for credit risk in determining the capital requirements for credit risk.

解释：

B is correct. Statement b. is false because Basel II also covers operational risk. Banks can provide inputs but cannot use their internal models for credit risk, so statement d. is true.

这个D为什么不正确呢？

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2 个答案

品职答疑小助手雍 · 2021年05月09日

之前有这样考量过这种名称的解释，但是读题来看D说的internal model更像是在说银行自己内部的模型， 不过不管是approach 还是内部的模型，总之都是不能用嘛。

品职答疑小助手雍 · 2021年04月05日

嗨，从没放弃的小努力你好：


这题让选false的，D对了所以不选。

银行最多最多可以算算参数，最终计算captial requirement的模型还是监管公布的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

LuckyYao · 2021年05月09日

D对的原因难道不是因为不能用internal models approach计算credit risk，credit risk是internal ratings-based approach啊

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