Financial Risk Manager Part 2
Get started today
Ultimate access to all questions.
Comments
Loading comments...
Ultimate access to all questions.
A regulatory analyst at a large multinational bank is examining regulatory requirements the bank must comply with under the Basel Committee's FRTB guidelines. The analyst explores how the FRTB guidelines evolved from the Basel I and Basel II.5 frameworks as well as the instructions for applying the guidelines. Which of the following is correct regarding the FRTB?
A
While Basel I and Basel II.5 allowed market risk to be calculated at the trading desk level, FRTB requires that market risk be calculated on a firm-wide basis.
B
While Basel I and Basel II.5 emphasized the use of a standardized approach to calculating market risk, FRTB encourages each bank to develop and rely on an internal models approach.
C
FRTB standardizes the liquidity horizon used for all risk factors in the market risk capital calculation as 10 days, rather than the different horizons used in Basel I and Basel II.5.
D
FRTB requires that the stressed ES measure be used in determining market risk capital, rather than the VaR and stressed VaR measures that were used in Basel I and Basel II.5, respectively.