Under the standardized approach to calculating operational risk capital, how many business lines are a bank’s activities divided into per Basel II?

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What is the risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?

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Which of the following statements are true:

I. Credit VaR often assumes a one year time horizon, as opposed to a shorter time horizon for market risk as credit activities generally span a longer time period.

II. Credit losses in the banking book should be assessed on the basis of mark-to-market mode as opposed to the default-only mode.

III. The confidence level used in the calculation of credit capital is high when the objective is to maintain a high credit rating for the institution.

IV. Credit capital calculations for securities with liquid markets and held for proprietary positions should be based on marking positions to market.

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If the full notional value of a debt portfolio is $100m, its expected value in a year is $85m, and the worst value of the portfolio in one year’s time at 99% confidence level is $60m, then what is the credit VaR?

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Which of the following belong in a credit risk report?

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Ex-ante VaR estimates may differ from realized P&L due to:

I. the effect of intra day trading

II. timing differences in the accounting systems

III. incorrect estimation of VaR parameters

IV. security returns exhibiting mean reversion

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As the persistence parameter under EWMA is lowered, which of the following would be true:

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