1個回答
Cindy助教
2020-10-09 10:17
該回答已被題主采納
同學(xué)你好，這道題比較綜合，在第三門課和第四門課都有講過的
A，Economic capital should be sufficient to cover both expected and worst-case operational risk losses.經(jīng)濟(jì)資本是用來覆蓋非預(yù)期損失的，不是預(yù)期損失和WCL，這句話錯誤
B，Loss severity and loss frequency tend to be modeled with lognormal distributions. loss frequency一般用泊松分布建模，Loss severity用對數(shù)正態(tài)分布建模，B選項也錯誤
C，Operational loss data available from data vendors tend to be biased towards small losses.一般從數(shù)據(jù)供應(yīng)商那兒看到的數(shù)據(jù)都是偏大的，銀行是不愿意把損失數(shù)據(jù)告訴別人的，一旦藏不住了，才會被公布出來，所以我們看到的損失都是偏大的，C錯誤
D，The standardized approach used by banks in calculating operational risk capital allows for different beta factors to be assigned to different business lines.標(biāo)準(zhǔn)法將銀行的收入分成了8個條線，每個條線被賦予了 一個beta系數(shù)，所以這句話是對的
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