3I0-012

3I0-012 practice questions, page 28 of 30, with answer review and explanations.

Question 136

Prudential regulation of banking book liquidity risk is dealt with by the Basel Committee (Basel II / Basel III) in the context of:

  1. capital adequacy regulations in Pillar 1
  2. market risk and Tier 3 capital elements
  3. internal management procedures subject to supervisory review in Pillar 2
  4. market discipline, disclosure and transparency in Pillar 3

Question 137

VaR increases with:

  1. lower correlation of underlying risk factors
  2. a shorter time horizon
  3. a lower confidence level
  4. a higher confidence level

Question 138

Under Basel Rules, the Basic Indicator Approach is a regulatory framework for:

  1. liquidity risk
  2. business risk
  3. operational risk
  4. funding risk

Question 139

Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

  1. 1 minus recovery rate, probability of default and exposure at default
  2. exposure at origination, exposure at default and loss given default
  3. loss given default, 1 minus recovery rate and exposure at default
  4. exposure at origination, recovery rates and probability of default

Question 140

Under Basel rules the risk weight for claims on unrated sovereigns and their cennl banks in the standardized approach is:

  1. 75%
  2. 100%
  3. 150%
  4. 350%