This practice question set consists of 27 pages reviewing the concepts of:

Objectives for revising the Basel II market risk framework.

The capital charge for specific risk and general market risk.

The relationship regulators require between market risk factors used for pricing versus those used for calculating value-at-risk and the risks captured by the value-at-risk model.

The stressed value-at-risk measure and the frequency which it must be calculated.

The market risk capital requirement.

The qualitative disclosures for the incremental risk capital charge.

The quantitative disclosures for trading portfolios under the internal models approach.

The regulatory guidance on prudent valuation of illiquid positions.

We have also provided individual links for each question to their respective forum discussion.

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