Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement? A) 2% of 6 months forward earnings B) 20% of regulatory capital C)

Question

Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement? A) > 2% of 6 months forward earnings B) > 20% of regulatory capital C) <10% of regulatory capital D) < 5% of 12 months forward earnings

Quizplus · Accepted Answer

Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at losses greater than 20% of regulatory capital given a +1- 200 bps market rate movement.

Supervisors Would Generally Consider Interest Rate Risk Exposure in the Banking