
Explanation:
Banks often categorize risks into three broad types: market risk, credit risk, and operational risk. However, enterprise-wide VaR is not likely to account for all three, especially operational risk. In addition, enterprise-wide VaR may not factor in funding liquidity risk - the risk that a sudden reduction in funding to the bank might force the sale of assets under duress, leading to losses.
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Q.4 Enterprise-wide VaR is not likely to account for all types of risk. In particular, enterprise-wide VaR may not factor in:
A
Credit risk
B
Market risk
C
Funding liquidity risk
D
None of the above. Enterprise-wide risk is likely to account for all types of risk.
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