划重点！FRM二级市场风险重要知识点-市场风险资本金计算

FRM考生注意！划重点啦！今日整理知识点：FRM二级市场风险重要知识点-市场风险资本金计算。市场风险计量与管理在FRM考试科目中可以算是一个知识点较多的板块，且在整个考试中的占比为20%，分数占比还是很高的，大家一定要重点进行学习！！

正保会计网校的老师不光给大家总结了知识点，还结合了精选例题，给大家做了细致的讲解，一起来学习一下吧！

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 ●知识点：市场风险资本金计算● 

Market Risk Capital Calculation

•In May 2012, the Basel Committee issued a consultative document proposing major revisions to the market risk capital which is calculated for the trading book. This is referred to as the Fundamental Review of the Trading Book (FRTB).

•Basel Accord I calculations of market risk capital were based on a 10-day 99% VaR. The VaR was based on the behavior of market variables during a recent period of time (typically one to four years).

•Basel Accord II.5 required banks to calculate a stressed VaR measure in addition to the current VaR measure. The stressed VaR was based on the behavior of market variables during a 250-day period of stressed market conditions.

• The FRTB is proposing a change to the measure used for determining market risk capital. Instead of 99% VaR, 97.5% ES is proposed. For normal distributions, the two measures are almost exactly equivalent. The 99% VaR is μ - 2.33σ while the 97.5% ES is μ - 2.34σ. For a distribution with a heavier tail than a normal distribution, the 97.5% ES can be considerably greater than the 99% VaR.

常考点：

1. 巴塞尔一用10天99%的VaR来计算市场风险资本金。

2. 巴塞尔二点五在VaR的基础上增加了SVaR，SVaR侧重压力状况下的市场表现。

3. FRTB提议用97.5%的ES来代替VaR，肥尾情况下，97.5%ES比99%的VaR明显要大。

例题：

Which of the following statements regarding the differences between Basel I, Basel II.5, and the Fundamental Review of the Trading Book (FRTB) for market risk capital calculations is incorrect?

A. Both Basel I and Basel II.5 require calculation of VaR with a 99% confidence interval.

B. FRTB requires the calculation of expected shortfall with a 97.5% confidence interval.

C. FRTB requires adding a stressed VaR measure to complement the expected shortfall calculation.

D. The 10-day time horizon for market risk capital proposed under Basel I incorporates a recent period of time, which typically ranges from one to four years.

【正确答案】C

【答案解析】Basel I and Basel II.5 use VaR with a 99% confidence interval and the FRTB uses the expected shortfall with a 97.5% confidence interval. Basel I market risk capital requirements produced a very current result because the 10-day horizon incorporated a recent period of time. The FRTB does not require adding a stressed VaR to the expected shortfall calculation. It was Basel II.5 that required the addition of a stressed VaR.

以上就是FRM二级市场风险重要知识点-市场风险资本金计算的相关内容，后期小编会持续给大家更新相关重要知识点，小伙伴们可以关注【 备考经验 】栏目查看！

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