Explanation:
Under Basel II regulations, banks adopting the AMA are required to calculate their capital requirement based on a one-year holding period and a 99.9th percentile confidence interval.
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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