Financial Risk Manager Part 2
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Ultimate access to all questions.
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.