劃重點(diǎn)！FRM二級(jí)市場風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-市場風(fēng)險(xiǎn)資本金計(jì)算

FRM考生注意！劃重點(diǎn)啦！今日整理知識(shí)點(diǎn)：FRM二級(jí)市場風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-市場風(fēng)險(xiǎn)資本金計(jì)算。市場風(fēng)險(xiǎn)計(jì)量與管理在FRM考試科目中可以算是一個(gè)知識(shí)點(diǎn)較多的板塊，且在整個(gè)考試中的占比為20%，分?jǐn)?shù)占比還是很高的，大家一定要重點(diǎn)進(jìn)行學(xué)習(xí)??！

正保會(huì)計(jì)網(wǎng)校的老師不光給大家總結(jié)了知識(shí)點(diǎn)，還結(jié)合了精選例題，給大家做了細(xì)致的講解，一起來學(xué)習(xí)一下吧！

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 ●知識(shí)點(diǎn)：市場風(fēng)險(xiǎn)資本金計(jì)算● 

Market Risk Capital Calculation

?In May 2012, the Basel Committee issued a consultative document proposing major revisions to the market risk capital which is calculated for the trading book. This is referred to as the Fundamental Review of the Trading Book (FRTB).

?Basel Accord I calculations of market risk capital were based on a 10-day 99% VaR. The VaR was based on the behavior of market variables during a recent period of time (typically one to four years).

?Basel Accord II.5 required banks to calculate a stressed VaR measure in addition to the current VaR measure. The stressed VaR was based on the behavior of market variables during a 250-day period of stressed market conditions.

? The FRTB is proposing a change to the measure used for determining market risk capital. Instead of 99% VaR, 97.5% ES is proposed. For normal distributions, the two measures are almost exactly equivalent. The 99% VaR is μ - 2.33σ while the 97.5% ES is μ - 2.34σ. For a distribution with a heavier tail than a normal distribution, the 97.5% ES can be considerably greater than the 99% VaR.

?？键c(diǎn)：

1. 巴塞爾一用10天99%的VaR來計(jì)算市場風(fēng)險(xiǎn)資本金。

2. 巴塞爾二點(diǎn)五在VaR的基礎(chǔ)上增加了SVaR，SVaR側(cè)重壓力狀況下的市場表現(xiàn)。

3. FRTB提議用97.5%的ES來代替VaR，肥尾情況下，97.5%ES比99%的VaR明顯要大。

例題：

Which of the following statements regarding the differences between Basel I, Basel II.5, and the Fundamental Review of the Trading Book (FRTB) for market risk capital calculations is incorrect?

A. Both Basel I and Basel II.5 require calculation of VaR with a 99% confidence interval.

B. FRTB requires the calculation of expected shortfall with a 97.5% confidence interval.

C. FRTB requires adding a stressed VaR measure to complement the expected shortfall calculation.

D. The 10-day time horizon for market risk capital proposed under Basel I incorporates a recent period of time, which typically ranges from one to four years.

【正確答案】C

【答案解析】Basel I and Basel II.5 use VaR with a 99% confidence interval and the FRTB uses the expected shortfall with a 97.5% confidence interval. Basel I market risk capital requirements produced a very current result because the 10-day horizon incorporated a recent period of time. The FRTB does not require adding a stressed VaR to the expected shortfall calculation. It was Basel II.5 that required the addition of a stressed VaR.

以上就是FRM二級(jí)市場風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-市場風(fēng)險(xiǎn)資本金計(jì)算的相關(guān)內(nèi)容，后期小編會(huì)持續(xù)給大家更新相關(guān)重要知識(shí)點(diǎn)，小伙伴們可以關(guān)注【 備考經(jīng)驗(yàn) 】欄目查看！

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