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hbc0728 · 2022年03月10日

请问这道题考到的知识点是什么呢，在讲义上哪个位置呢，谢谢！

  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).

如题

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品职答疑小助手雍 · 2022年03月10日

同学你好，讲义里没有明确说option的处理，不过原则上要想用更简单的、计量更不精确的标准法，肯定就是选一个最简单的、对风险计量要求最低的条件，也就是最安全的一个情景。所以选了C。

讲义91页标红的话。

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