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The OTC derivatives market was considered by many to have been partly responsible for the 2008 credit crisis. When the G20 leaders met in Pittsburgh in September 2009 in the aftermath of the 2008 crisis, they wanted to reduce systemic risk by regulating the OTC market.Which of the following is not a post-crisis change in regulation of OTC markets?

A) All standardized OTC derivatives be cleared through CCPs.

B) Standardized OTC derivatives be traded on electronic platforms.

C) All trades in the OTC market be reported to a central trade repository.

D) OTC derivatives can be settled separately.

答案：D

解析：The results of this were three major changes affecting OTC derivatives:

1. A requirement that all standardized OTC derivatives be cleared through CCPs. The purpose of this requirement is to reduce systemic risk.This shows that the D option is wrong.

2. Arequirement that standardized OTC derivatives be traded on electronic platforms. This is to improve transparency.

3.Arequirement that all trades in the OTC market be reported to a central trade repository. This requirement provides regulators with important information on the risks being taken by participants in the OTC market.

The first two of these requirements apply only to cleared transactions, which occurs between two financial institutions (or between a financial institution and a non-financial company that is considered to be systemically important because of the volume of its OTC derivatives trading), while the third one apply to all trades.

Which of the following statements regarding the differences between Basel I, Basel II.5, and the Fundamental Review of the Trading Book (FRTB) for market risk capital calculations is incorrect?

A) Both Basel I and Basel II.5 require calculation of VaR with a 99% confidence interval.

B) FRTB requires the calculation of expected shortfall with a 97.5% confidence interval.

C) FRTB requires adding a stressed VaR measure to complement the expected shortfall calculation.

D) The 10-day time horizon for market risk capital proposed under Basel I incorporates a recent period of time, which typically ranges from one to four years扫码咨询

答案：C

解析： Basel I and Basel II.5 use VaR with a 99% confidence interval and the FRTB uses the expected shortfall with a 97.5% confidence interval. Basel I market risk capital requirements produced a very current result because the 10-day horizon incorporated a recent period of time. The FRTB does not require adding a stressed VaR to the expected shortfall calculation. It was Basel 11.5 that required the addition of a stressed VaR.

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