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In its efforts to enhance its enterprise risk management function, Countryside Bank introduced a new decision-making process based on economic capital that involves assessing sources of risk across different business units and organizational levels. Which of the following statements regarding the correlations between these risks is correct?

A) Correlations between the risks in the asset and liability sides of the balance sheet can be changed by management decisions. 》》》點我咨詢21年FRM備考技巧  

B) Generally, correlations between broad risk types such as credit, market and operational risk are well understood and are easy to estimate at the individual firm level.

C) Correlations between business units are only relevant in deciding total firm-wide economic capital levels and are not relevant for decisions at the individual business unit or project level.

D) The introduction of correlations into firm-wide risk evaluation will result in a total VaR that, in general, is greater than or equal to the sum of individual business unit VaRs.

答案:A 【資料下載】[融躍財經(jīng)]FRM一級ya題-pdf版

解析:Management has the ability to influence the correlation between these risks by changing the asset/liability mix, so management decision-making is indeed quite relevant.Across the firm, there is diversification across risk categories: firm-wide VaR is less than the sum of the market risk, credit risk, and operational risk VaRs.

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