c*****g
发帖数: 1137 | 1 网上搜出来的解释都挺复杂的，谁能简单通俗的解释一下？
好像越少越好？多谢了 | f********c
发帖数: 21 | 2 只知道是跟 financial institution 有关的。。。 | L********a
发帖数: 44 | 3 Required by BASEL II. Economic Capital, pretty much is VaR. | K*****Y
发帖数: 629 | 4 VaR does not take into account of extreme catastrophic scenarios such as
default of obligators. Regulatory capital takes into account of both market
risk and credit risk. It is the amount of capital that must be held by a
bank as a cushion against its 1-alpha% percentile loss, where alpha depends on
the credit rating of the bank. Example, for a AAA rating bank 1-alpha%=99.97
%. |
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