FRM一级易错题精选:巴塞尔协议(III)

Which ofthe following statements would be considered a drawback of Basel III?
 
A.Procyclicality is a concem,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 conceming credit risk.
 
FRM考试
 
Answer:B
 
Basel III only considers Level 1 diversification benefits(Level 1:within specific class ofrisk,specific line ofbusiness).
 
Level 2a:within specific class of risk,across specific line of bussiness Level 2b:across specific classes of risk,within a definite legal entity Level 3:across definite classes of risk,across legal entities.

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