题目
In regard to limits policies, optimal risk governance requires the ability to link risk appetite and limits to specific business practices. Accordingly, appropriate limits need to be developed for each business as well as for the specific risks associated with the business (as well as for the entire portfolio of the enterprise). Most institutions set two types of limits, tier I and tier II limits. About these limits, which of the following is TRUE?
选项
A.Firms should choose and either adopt tier I or tier II limits but not both simultaneously
B.Tier I limit exceedances must be cleared or corrected immediately, while tier II exceedances are less urgent and can be cleared within a few days or a week.
C.Tier II limits are specific and often include an overall limit by asset class, an overall stress-test limit, and a maximum drawdown limit.
D.Tier I limits are more generalized and relate to areas of business activity as well as aggregated exposures categorized by credit rating, industry, maturity, and region.
答案
B
解析
Tier I limit exceedances must be cleared or corrected immediately, while tier II exceedances are less urgent and can be cleared within a few days or a week.Most institutions set two types of limits. Tier I limits are specific and often include an overall limit by asset class, an overall stress-test limit, and a maximum drawdown limit. Tier II limits are more generalized and relate to areas of business activity as well as aggregated exposures categorized by credit rating, industry, maturity, region, and so on. 超出第一层限额必须立即澄清或更正，而超出第二层限额则不太紧急，可以在几天或一周内处理。 大多数机构设定两种限额。 第一层限额是特定的，通常包括按资产类别划分的总限制，总的压力测试限制和最大跌幅限制。 第二级限额更一般化，涉及业务活动领域以及按信用等级，行业，到期日，地区等分类的汇总风险敞口。