FRM真题练习备考生必看！

发布时间：2022-07-11 09:52编辑：融跃教育FRM

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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 capital charge?

A) $15.0 million

B) $18.0 million

C) $27.0 million

D) $34.5 million

答案：C

解析：The loss year is excluded, so the charge is AVERAGE (130,230) × 15% alpha =$27 million

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

答案：A

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 approach:

A) Allows for internal estimates of loss given default (LGD) and exposure at default (EAD).

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).

答案：A

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.

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