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追风少年NKU · 2021年10月27日

我记得basel这章哪里讲过banking book也是有interest risk的

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000043

问题如下：

For regulatory capital calculation purposes, what market risks must be incorporated into a bank's VAR estimate?

选项：

A.

Risks in the trading account relating to interest rate risk and equity risk

B.

Risks in the trading account relating to interest rate risk and equity risk, and risks throughout the bank related to foreign exchange and commodity risks

C.

Risks throughout the bank related to interest rate risk, equity risk, foreign exchange risk, and commodity risk

D.

Interest rate risk, equity risk, foreign exchange risk, and commodity risk in the trading account only

解释：

B is correct. In addition to all the risks in the trading book (interest rate, equity, foreign exchange, commodity), the market capital charges also include foreign exchange and commodity risks in the banking book.

你好，我记得basel这章哪里讲过，banking book也是有interest risk的？

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1 个答案

DD仔_品职助教 · 2021年10月28日

嗨，爱思考的PZer你好：


这个知识点在我们的section 2，下图是强化讲义第9页的相关内容。老师在强化课上有强调，关于banking book确实是有int rate risk的，但是，巴塞尔二底下没有考虑到，这里是一个结论性质的知识点，同学要记忆的

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NO.PZ2016072602000043 问题如下 For regulatory capitcalculation purposes, whmarket risks must incorporateinto a bank's Vestimate? Risks in the trang account relating to interest rate risk anequity risk Risks in the trang account relating to interest rate risk anequity risk, anrisks throughout the bank relateto foreign exchange ancommoty risks Risks throughout the bank relateto interest rate risk, equity risk, foreign exchange risk, ancommoty risk Interest rate risk, equity risk, foreign exchange risk, ancommoty risk in the trang account only B is correct. In aition to all the risks in the trang book (interest rate, equity, foreign exchange, commoty), the market capitcharges also inclu foreign exchange ancommoty risks in the banking book. 老师也是说MR计算regulcapital的时候考虑了这些风险吗

2023-07-25 23:20 1 · 回答

NO.PZ2016072602000043 Risks in the trang account relating to interest rate risk anequity risk, anrisks throughout the bank relateto foreign exchange ancommoty risks Risks throughout the bank relateto interest rate risk, equity risk, foreign exchange risk, ancommoty risk Interest rate risk, equity risk, foreign exchange risk, ancommoty risk in the trang account only B is correct. In aition to all the risks in the trang book (interest rate, equity, foreign exchange, commoty), the market capitcharges also inclu foreign exchange ancommoty risks in the banking book. 请问，b与c不是表达的同一个意思么？

2022-03-05 16:34 1 · 回答

NO.PZ2016072602000043 Risks in the trang account relating to interest rate risk anequity risk, anrisks throughout the bank relateto foreign exchange ancommoty risks Risks throughout the bank relateto interest rate risk, equity risk, foreign exchange risk, ancommoty risk Interest rate risk, equity risk, foreign exchange risk, ancommoty risk in the trang account only B is correct. In aition to all the risks in the trang book (interest rate, equity, foreign exchange, commoty), the market capitcharges also inclu foreign exchange ancommoty risks in the banking book. 请问C项是哪里说错了，是表外没利率股票这类MR么，所以一定要分trang book和throughout来讲？

2021-05-05 11:19 1 · 回答

     老师你好，请下foreign exchange和commoty risks为什么不在trang book？throughout the bank怎么理解呢？答案B可直接当结论记忆吗，谢谢。

2019-10-20 22:06 1 · 回答