Supervisors Would Generally Consider Interest Rate Risk Exposure in the Banking

question 381

Multiple Choice

Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

• A) > 2% of 6 months forward earnings
• B) > 20% of regulatory capital
• C) <10% of regulatory capital
• D) < 5% of 12 months forward earnings

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