发帖
雷达卡
You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the simplified approach to report options exposure instead of the intermediate approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?
a. The bank writes options, but its options trading is insignificant in relation to its overall business activities.
b. The bank purchases and writes options and has significant option trading.
c. The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.
d. The bank purchases and writes options, but its option trading is insignificant.
选C，把问题再延伸一下吧
Locate this approach in the Basel big picture: does this refer to Basel I or Basel II? Which Pillar? Which major risk bucket: credit, market or operational risk?
What (briefly) is the simplified approach to treating options exposure?
What are the two sub-types of simplified approach?
Under the simplified approach, if a bank owns 100 shares and is hedged with a long position in 100 put options, when the share price = $10 and strike price = $11, what is the capital charge?
What are the intermediate approaches?
谢谢交流 \ 指教。
京公网安备 11010802022788号
