Explanation:
Under the Basel II Advanced Measurement Approach (AMA) for operational risk, banks are required to calculate the regulatory capital charge based on a 99.9% confidence level over a one-year time horizon.
Q.42 According to Basel II guidelines, banks using the advanced measurement approach (AMA) to determine operational risk capital must calculate the risk capital charge at:
A
A 99 percentile confidence level and a five-year time horizon.
B
A 90 percentile confidence level and a two-year time horizon.
C
A 99.9 percentile confidence level and a one-year time horizon.
D
A 95 percentile confidence level and a ten-year time horizon.
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