FRM II-OR EDU 3

anbu.edu
Finance Junkie
Posts: 205
Joined: Mon Feb 04, 2013 3:35 pm

FRM II-OR EDU 3

Postby anbu.edu » Thu Nov 06, 2014 2:27 pm

The capital charge for market risk for banks subject to the market risk rule is:
Select one:
a. Three times the calculated VaR
b. The average VaR over the last 50 days
c. The higher of the previous day's VaR, or 3 times the average calculated VaR over the past
60 business days.
d. A minimum multiplicative factor of 3 times the higher of the previous day's VaR the average
VaR over the last 60 business days.

Then when is C correct... whats the difference between C and D

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

FRM II-OR EDU 3

Postby edupristine » Fri Nov 07, 2014 7:00 am

The correct option is ( C ).

Option ( D ) has been intentionally designed to look similar to the correct option ( C ). However option (d) is incorrect.

Option (d) says that the market risk charge is 3 times the higher of (the previous day's VaR , the average VaR over the last 60 days).

However, the actual market risk charge is the higher of ( previous day's VaR, 3* average VaR calculated over the past 60 days)


Return to “FRM Part II”



cron

Disclaimer

Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by EduPristine. CFA Institute, CFA®, Claritas® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

Utmost care has been taken to ensure that there is no copyright violation or infringement in any of our content. Still, in case you feel that there is any copyright violation of any kind please send a mail to abuse@edupristine.com and we will rectify it.