第七章单元测试
- The market risk of collateral may give rise to the counterparty risk of a derivatives trade. （ ）
- Integrated risk management requires measuring risk across all business units and all risk factors, using consistent methodologies, systems and data. （ ）
- Basel Accord specifies the minimum amount of capital a financial institution should hold against financial risks. （ ）
- Which of the following is not added to the capital requirements by Basel III to reflect the new development in risk management after the subprime crisis? （ ）
- Which of the following is correct about risk charges according to Basel III? （ ）
A:对 B:错
答案:对
A:错 B:对
A:错 B:对
A:An additional capital charge between 1% and 2.5% to those systematically important banks. B:8% on credit risk charge. C:A capital conservation buffer of 2.5%. D:A Countercyclical Capital Buffer ranging between 0% to 2.5%.
A:Under the standardized approach for credit risk charge, the bank needs to estimate the probability itself. B:Under the standardized approach for operational risk charge, a bank needs to compute the charge for eight business lines individually. C:Banks are not allowed to make their own estimate in computing risk charges. D:Under the standardized approach for market risk charge, a bank needs to compute its exposure to five asset classes such as fixed-income, equity, foreign exchange, commodity and option.
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