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【FRM每日一题】二级:巴塞尔协议(2)

发表时间:2015/8/18 10:41:32 编辑: 告诉小伙伴:
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[编考按]【FRM每日一题】二级:巴塞尔协议?As a result of the new Basel standards, every bank must now calculate explicit capital charges to cover operational risk using one of three approaches: the basic indicator approach (BIA), the...

FRM每日一题

         As a result of the new Basel standards, every bank must now calculate explicit capital charges to cover operational risk using one of three approaches: the basic indicator approach (BIA), the standardized approach (SA), and the advanced measurement approach (AMA). Which of the following statements are true with respect to these operational risk approaches?

        I.In practice the AMA is the most stringent approach for operational risk.

        II.The most popular method to satisfy the AMA is the loss distribution approach.

        III.The AMA allows a bank to build its own operational risk model and measurement system comparable to market risk standards.

        IV.BIA is widely used in insurance and actuarial science.

        A.II only.

        B.III and IV.

        C.II and III.

        D.None are correct.

        Answer: C

        Statement I is incorrect. AMA is the most flexible method. Statement II is correct. The most popular method to satisfy the AMA is the loss distribution approach (LDA). Statement III is correct. The AMA method allows a bank to build its own operational risk model and measurement system that is comparable to market risk standards. Statement IV is incorrect. LDA is widely used in insurance and actuarial science.

        
  
 
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