10-62 The general market risk charge in the BIS standardized framework of market risk measurement
A) reflects the product of the modified durations and the interest rate shocks.
B) measures the credit risk quality of the trading portfolio.
C) measures the vertical offsets of the portfolio.
D) measures the decline in liquidity of the portfolio.
E) More than one of the above is correct.
Correct Answer:
Verified
Q59: 10-55 If an FIs trading portfolio of
Q60: 10-54 If a stock portfolio replicates the
Q61: 10-67 What is the 10-day VAR?
A)$5,000.
B)$10,000.
C)$15,811.
D)$22,361.
E)$50,000.
Q62: 10-65 Which approach,in effect,amounts to simulating or
Q63: 10-72 What is the modified duration of
Q65: 10-64 In the BIS standardized framework model,these
Q66: 10-69 What is the maximum yield change
Q67: 10-61 The specific risk charge in the
Q68: 10-66 The BIS plan allowing internal models
Q69: 10-63 The additional capital charge for basis
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents