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Pillar 1 of the Basel II framework allows banks to use various approaches to calculate the capital requirements for credit risk, operational risk, and market risk.

Which of the following Basel II approaches allows a bank to explicitly recognize diversification benefits?

A) The basic indicator approach for operational risk

B) The standardized approach for market risk

C) The internal models approach for market risk

D) The standardized approach for operational risk

答案：C 【資料下載】[融躍財(cái)經(jīng)]FRM一級(jí)ya題-pdf版

解析：The internal models approach allows banks to use risk measures derived from their own internal risk management models, subject to a set of qualitative conditions and quantitative standards. In terms of risk aggregation within market risk using the internal models approach, banks are explicitly allowed to recognize empirical correlations across broad market risk categories, and, thus, diversification benefits. 》》》點(diǎn)我咨詢21年FRM備考技巧

The standardized approach for market risk, on the other hand, assigns capital separately to each of debt securities, equity securities, foreign exchange risk, commodity risk, and options without consideration for correlations between different types of instruments. Thus, C is correct and B is incorrect.Also, Aand D are incorrect because operational risk cannot be diversified.

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