题目
Your supervisor is an expert in market and credit risk. He recruits you to manage the operational risk department. He would like to use VaR to measure the firm’s operational risk and proposes that you use the same VaR framework previously developed for market and credit risk. Which of the following arguments is a valid argument for why it is difficult to estimate an operational VaR using the same framework as market and credit VaR?
选项
A.Market risk events are easier to map to risk factors than operational risk events.
B.Quantitative methods for estimating operational risk VaR do not exist.
C.Market and credit VaRs are estimated using only frequency distribution, but operational VaR is estimated using both a frequency distribution and a severity distribution.
D.Monte Carlo techniques cannot be used for an operational risk VaR because the underlying risk factors are not normally distributed.
答案
A
解析
Operational losses are not easy to map to risk factors. Operational VaR can be calculated by both severity and frequency distribution. Monte Carlo techniques can be used for other distributions than the normal distribution.操作损失很难映射到风险因素。 操作VaR可以通过严重程度和频率分布来计算。 蒙特卡洛模拟可用于除正态分布以外的其他分布