Qualitative and quantitative disclosures for the incremental risk capital charge should include which of the following?
- Methodologies and approaches by the bank to determine liquidity levels and horizons.
- Liquidity levels and horizons should be estimated during model validation and also during the process of assessing capital requirements.
- Quantitative disclosures for trading portfolios under IMA approach should report the values of VAR, SVAR, and IRC.
- Back testing critical outliers and trading portfolio gains/losses (in comparisons to VAR estimates) should be reported.
A. I, III and IV.
B. I, II, III and IV.
C. II, III and IV.
D. I, II and III.
|
