阮同學
2020-10-10 15:40正對這題我看了別的同學老師的解答，感覺有點答非所問 老師還是沒說清楚為什么巴塞爾一里面還有market risk計算 第二個問題是，巴塞爾1??是寫了market可以用一年到4年的99%的var計算，這個在講義里貌似沒提到過
所屬：FRM Part II > Market Risk Measurement and Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Crystal助教
2020-10-10 20:12
該回答已被題主采納
兩個問題，原版書204頁background第一段前面兩句話：
The Basel I calculations of market risk capital were based on a value at risk (VaR) calculated for a 10-day horizon with a 99% confidence level. The VaR was "current" in the sense that calculations made on a particular day were based on the behavior of market variables during an immediately preceding period of time (typically, one to four years). Basel 2.5 required banks to calculate a "stressed VaR" measure in addition to the current measure. This is VaR where calculations are based on the behavior of market variables during a 250-day period of stressed market conditions. To determine the stressed period, banks were required to go back through time searching for a 250-day period where the observed movements in market variables would lead to significant financial stress for the current portfolio.
前面兩句話在基礎(chǔ)班講義中是有的。
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