Which of the following statements is (are) NOT correct?
- Banks are required to maintain a constant position over a one year capital horizon for estimation of the incremental risk charge (IRC).
- The liquidity horizon is defined as time needed to liquidate a position or hedge all the relevant risk of the IRC covered positions under normal market conditions.
- For securitized products, liquidity horizon for the IRC calculations should be less than the floor.
- Banks in general should use conservative liquidity assumptions while evaluating single positions. This guideline applies to only single positions and not the aggregated positions.
A. None of these.
B. I, II and III.
C. I, II, III and IV.
D. II, III and IV.
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