微信扫一扫
实时资讯全掌握
|
Bank regulators require a specific relationship among the market risk factors used in the pricing process. Which of the following statements is least accurate? A. For commodity price risk, correlation risk and basis risk should be captured for limited or aggregate positions. B. In the equity pricing area, market risk factors include market-wide movements in equity prices and price changes in industry sectors. C. A bank should consider foreign exchange risk factor if it has significant exposure to a particular foreign currency. D. With respect to pricing based on interest rates, regulators require banks to model yield curves. |