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Under Basel III, each of the following is true about the internal models approach (IMA) to market risk except which is false?
A
Value at risk (VaR) must be computed on a daily basis with a one-tailed confidence level of 99.0% and a minimum holding period of ten (10) days
B
In 2008, the Basel Committee recognized that most of the losses in the credit market turmoil of 2007 and 2008 were from changes in credit ratings, widening of credit spreads, and loss of liquidity, but as a result of defaults excluded.
C
Regulators proposed an incremental default risk charge (IDRC) in 2005 that would be calculated with a 99.9% confidence level and a one-year time horizon for instruments in the trading book that were sensitive to default risk.
D
The comprehensive risk measure (CRM) is designed to take account of risks in asset-backed securities.
