Which was the minimum capital requirement for market risk in the 1996 BIS Amendment?
A) At least 3 times the 10-day VaR with a 99% confidence level
B) At least 3 times 7-day VaR with a 97% confidence level
C) At least 2 times 5-day VaR with a 95% confidence level
D) 1-day VaR with a 99% confidence level
Correct Answer:
Verified
Q1: Which of the following is true?
A) The
Q2: In the case of interest rate movements
Q4: Which of the following is true when
Q5: Which of the following is true of
Q6: Which of the following is true of
Q7: The gain from a project is equally
Q8: In a principal components analysis which of
Q9: A German bank has exposure to the
Q10: The 10-day VaR is often assumed to
Q11: Which of the following is true?
A) Cash
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