nayizhenfeng

 

8、A bank that wishes to adopt a framework for determining regulatory operational risk capital must meet the most stringent criteria if it wants to adopt the:

A) Advanced standardized approach (ASA).  

B) Advanced measurement approach (AMA).  

C) Basic indicator approach (BIA).  

D) Standardized approach (SA). 

nayizhenfeng

 

The correct answer is B

 

The most stringent criteria are for adoption of the advanced measurement approach (AMA).

nayizhenfeng

 

The correct answer is C

 

A fixed percentage of gross income is used in the basic indicator approach.

nayizhenfeng

 

5、Under the basic indicator approach to measuring operational risk capital proposed in the New Basel Accord, a bank will hold capital for operational risk equal to a fixed percentage of the bank’s:

A) average annual revenues over the prior two years.   

B) average annual gross income over the prior three years.  

C) average market risk and credit risk capital over the prior three years.   

D) market risk capital in the previous year. 

nayizhenfeng

 

The correct answer is B

 

The basic indicator approach measures the capital charge on a firm-wide basis. Banks will hold capital for operational risk equal to a fixed percentage of the bank’s average annual gross income over the prior three years. The committee has proposed 15% as an initial proportion of operational risk for the indicator.

nayizhenfeng

 

6、One criticism of the BIS definition of operational risk is that it does not directly address:

A) strategic or reputational risk.  

B) risk of natural disaster. 

C) risk of inadequate or failed processes.  

D) human mistakes.

nayizhenfeng

 

The correct answer is A

 

The BIS definition of operational risk is the risk of losses due to inadequate or failed processes, persons, and systems that cannot protect a firm from outside events. The BIS definition focuses on actual direct/indirect losses and does not directly address strategic or reputational risk.

nayizhenfeng

 

The correct answer is D

 

The basic indicator approach and the standardized approach both multiply gross income by a set percentage to estimate operational risk.

nayizhenfeng

 

3、Regulators have proposed several approaches to determining a bank’s operational risk exposure. One approach which would allow each bank to use its own internal loss data to calculate the capital charge is the:

A) basic indicator approach.  

B) proprietary risk approach.

C) advanced measurement approach.  

D) internal factor approach.

nayizhenfeng

 

The correct answer is C

 

Under the advanced measurement approach, each bank would use their own internal loss data to calculate the capital charge within standards set by the supervisor.