10-61 the Specific Risk Charge in the BIS Standardized Framework

question 86

Multiple Choice

10-61 The specific risk charge in the BIS standardized framework of market risk measurement

• A)reflects the product of the modified durations and the interest rate shocks.
• B)measures the credit risk quality of the trading portfolio.
• C)measures the vertical offsets of the portfolio.
• D)measures the decline in liquidity of the portfolio.
• E)More than one of the above is correct.

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