老師可以解釋一下非參數(shù)法“Difficult to detect structural shifts/regime changes in the data.”嗎
Capital conservation buffers have been established by the Basel Committee as part of measures designed to ensure that banks have enough capital to handle stress situations. Assuming no regulatory add-ons have been imposed, which of the following is correct? 請問此題為什么說是0 CB?有100% constraint on capital distribution? 這是怎么判斷的，謝謝。
The risk management department at Southern Essex Bank is trying to assess the impact of the capital conservation and countercyclical buffers defined in the Basel III framework. They consider a scenario in which the bank’s capital and risk-weighted assets are as shown in the table below (all values are in EUR millions): Risk-weighted assets 3,110 Common equity Tier 1 (CET1) capital 230 Additional Tier 1 capital 34 Total Tier 1 capital 264 Tier 2 capital 81 Tier 3 capital - Total capital 345 Assuming that all Basel III phase-ins have occurred and that the bank’s required countercyclical buffer is 0.75%, which of the capital ratios does the bank satisfy? 請問此題若是滿足CB，則capital conservation buffer應(yīng)達到345/3110對么？謝謝
利率期限結(jié)構(gòu)在一級的什么地方啊～～～完全忘記了
nominal yield 和 real yield是怎么定義的來著？在一級的什么地方能找到啊--_-
請問解析里的 VaR was developed as a way for banks to track the economic capital requirements while taking into account the effects of diversification on the risk of the portfolio.（VaR在追蹤經(jīng)濟資本要求的時候考慮到組合風險的分散化效用）為什么能解釋 D、Portfolio diversification is not fully accounted for using the VaR methodology.（組合的多樣化不能完全解釋使用VaR方法的原因）這句話是錯的？看不太懂。
老師 這道題里“一年的標準差=根號250*一天的標準差”用到了平方根法則 前提條件不是獨立同分布嗎 可是題干里沒有給出這個條件
這道題的1有些不太明白，對于交易對手風險是雙向的，那么sell option的一方?jīng)]有信用風險敞口，這還是交易對手風險嗎？
老師，書本這里說的異常是從min variance方面說嗎？這段看到我有點懵??
老師，alpha和jensen alpha的區(qū)別還是有點懵，能不能再解釋解釋？
老師，收益率一般是用名義的還是實際的啊？如果用名義的，兩邊公式都用名義利率，如果用實際的，兩邊都用實際利率，只要兩邊一致公式就成立嗎？
The longer the window, the sparser the VaR curve.這句話老師可以解釋一下嗎？
數(shù)據(jù)準確性和一致性，在判斷時有什么方法，我有時會搞混。
非參數(shù)法典型是HS，可是D感覺就是沒涉及尾部風險的意思，HS解決了尾部風險的問題的伐
關(guān)于IRB 請問這句哪里錯了？IRB的高級法不就是這句么？謝謝 。Internal estimates of default probabilities and internal estimates for other model inputs.
程寶問答
金程問答