Abank uses the basic indicator approach (BIA) to determine their capital
charge for operational risk under Basel II (or Basel III). The bank’s annual
gross income (GI) over the previous three years was +$130 million (T-3), -$60
million loss (T-2), and +$230 million (T-1). What is the bank’s operational risk
A) $15.0 million
B) $18.0 million
C) $27.0 million
D) $34.5 million
解析：The loss year is excluded, so the charge is AVERAGE (130,230) × 15% alpha
Abank uses the standardized approach (SA) to determine their capital charge
for operational risk under Basel II (or Basel III). The bank has three (3)
business lines and each business line contributes one-third toward the total
gross income. For a given total gross income, which business mix will produce
the largest capital charge?
A) Corporate finance; trading and sales; payment and settlement
B) Retail banking; retail brokerage; and asset management
C) Commercial banking; agency services; asset management
D) Retail banking; Commercial banking; and Payment and settlement
解析：Trading and sales: 18% Corporate finance: 18% Payment, settlement: 18%
Commercial banking: 15%Agency services: 15% Retail banking: 12% Retail
brokerage: 12%Asset management: 12%.
The advanced internal ratings based (IRB) approach to calculating risk
weights differs from the foundation IRB approach in that the advanced
A) Allows for internal estimates of loss given default (LGD) and exposure at
B) Relies on supervisory estimates for most risk parameters.
C) Offers less flexibility in estimating risk parameters.
D) Allows for internal estimates of probability of default (PD) and exposure
at default (EAD).
解析：The advanced IRB approach offers more flexibility, because it does not
rely on supervisory estimates of risk parameters. Both the foundation and
advanced approaches allow for internal estimates of PD, but the foundation
approach requires the use of supervisory estimates for all other parameters.