发布时间：2022-07-06 10:20来源： 融跃教育FRM
Which of the following statements would be considered a drawback of Basel II/III?
A) Procyclicality is a concern, and no countercyclical buffer is provided.
B) It does not consider diversification effects among risk classes.
C) Level 1 diversification benefits are not acknowledged.
D) There are no detailed disclosure requirements for risk management policies
concerning credit risk.
解析：Basel II/III only considers Level 1 diversification benefits. It considers the sum of the risks but not the interrelationships among risk factors.
Your bank is implementing the advanced Internal Rating Based Approach of Basel II for credit risk, and theAdvanced Measurement Approach for operational risk. The bank uses the Internal Model Approach for market risk. The Chief Risk Officer (CRO) wants to estimate the bank’s total risk by adding up the regulatory capital for market risk, credit risk, and operational risk. The CRO asks you to identify the problems with using this approach to estimate the bank’s total risk. Which of the following statements about this approach is incorrect?
A) It assumes market, credit, and operational risks have zero correlation.
B) It uses a 10-day horizon for market risk.
C) It ignores strategic risks.
D) It ignores the interest risk associated with the bank’s loans.
解析：It is the perfect correlation.
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