时间:2018-03-30 16:39 作者:FRM 来源:FRM
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.
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.
本文FRM考试网小编,将本题翻译为中文内容如下:
以下哪些陈述将被视为巴塞尔协议III的缺陷?
A.周期性是一个概念,并没有提供反周期缓冲。
B.它没有考虑风险等级的多样化效应。
C.没有承认1级多样化的好处。
D.对风险管理政策认定信用风险没有详细的披露要求。
回答:B
巴塞尔III仅考虑1级多元化收益(1级:在特定风险类别,特定业务线内)。
等级2a:在特定的风险等级范围内,跨越特定的商业线2b级:跨特定类别的风险,在一个明确的法律实体内等级3:跨法人实体跨确定的风险等级。
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