Answered: B. 20 BP = 0.2% C. Basel I is…

B. 20 BP = 0.2% C. Basel I is increasing the amount of capital that banks are required to hold and the proportion of that capital that must be equity. D. Model-building approach

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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Question

Which of the following statements is false?

Basel II use the value at risk (VaR) with a one-year time horizon and a 99.9% confidence level for calculating capital for credit risk and operational risk.

20 BP = 0.2%

Basel I is increasing the amount of capital that banks are required to hold and the proportion of that capital that must be equity.

Model-building approach is a model for the joint distribution of changes in market variables and using historical data to estimate the model parameters.

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