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Which of the following statements about the differences between market and operational value-at-risk at financial institutions are correct?

I. The distribution of operational risk events must include sufficient mass in the extreme tail, making an assumption of a lognormal distribution invalid.

II. The typical time horizon of market VaR calculations is 1 day, whereas the typical time horizon of operational VaR calculations is 1 year.

III. Since prices are sufficiently available for liquid assets at all times, the market risk of liquid assets can be modeled using continuous distributions, but the nature of operational risk events requires using discrete distributions.

IV. Market VaR requires a higher confidence level than operational VaR.

A) I, II, and III【資料下載】[融躍財(cái)經(jīng)]FRM一級(jí)ya題-pdf版

B) I, II and IV

C) I, II, III and IV

D) III and IV

答案：A

解析：I. Correct. Low-Frequency, High Severity operational loss events imply that the distribution of operational loss events has sufficient mass in the extreme tail, so use of a lognormal distribution would be invalid. II. Correct. The typical time horizon of market VaR calculations is 1 day, whereas the typical time horizon of operational VaR calculations is 1 year. III. Correct. Since prices are sufficiently available for liquid assets at all times, the market risk of liquid assets can be modeled using continuous distributions, but the nature of operational risk events requires using discrete distributions. IV. Incorrect. The confidence level for any VaR is a parameter set by the user.》》》想了解更多21年FRM備考技巧的點(diǎn)我咨詢

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