最大损失变小，为啥对市场反而敏感了？

问题如下：

Viktoria Smith is a recently hired junior analyst at Aries Investments. Smith and her supervisor, Ingrid Johansson, meet to discuss some of the firm’s investments in banks and insurance companies.

Johansson asks Smith to review key performance ratios for ABC Bank, a bank in which Aries is invested. The ratios are presented in Exhibit 2.

* Note: VaR amounts are in millions and are based on a 99% confidence interval and a single-day holding period.

Based on Exhibit 2, Smith and Johansson should conclude that over the past three years, ABC Bank’s:

选项：

liquidity position has declined.

capital adequacy has improved.

sensitivity to market risk has improved.

解释：

C is correct.

Over the past three years, there has been a downward trend in the two VaR measures-total trading VaR (all market risk factors) and total trading and credit portfolio VaR. This trend indicates an improvement in ABC Bank’s sensitivity, or a reduction in its exposure, to market risk. The two liquidity measures-the liquidity coverage ratio and the net stable funding ratio-have increased over the past three years, indicating an improvement in ABC Bank’s liquidity position. Trends in the three capital adequacy measures-common equity Tier 1 capital ratio, Tier 1 capital ratio, and total capital ratio-indicate a decline in ABC Bank’s capital adequacy. While the total capital ratio has remained fairly constant over the past three years, the common equity Tier 1 capital ratio and the Tier 1 capital ratio have declined. This trend suggests that ABC Bank has moved toward using more Tier 2 capital and less Tier 1 capital, indicating an overall decline in capital adequacy.

解析：A错误。衡量流动性要看liquidity coverage ratio和net stable funding ratio，对这两个比率的要求是≥100%且越大越好，这两个ratio都上升了，说明流动性状况改善了。

B错误。给了三个资本充足率，其中最重要的是 common equity Tier 1 capital ratio，这个比率变低了，说明能够覆盖风险资产的资本金变少了，资本充足状况变差了。

C正确。衡量对市场风险的敏感程度要看VaR指标，表格中给了两个VaR，我们主要看第一个VaR（市场风险），VaR变小的意思是最大损失变小了，说明市场风险变小，该指标改善。