ACI
3I0-012 · Question #46
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?
The correct answer is B. > 20% of regulatory capital. See the full explanation below for the reasoning.
Question
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?
Options
- A
2% of 6 months forward earnings
- B
20% of regulatory capital
- C<10% of regulatory capital
- D< 5% of 12 months forward earnings
How the community answered
(26 responses)- A4% (1)
- B81% (21)
- C12% (3)
- D4% (1)
Community Discussion
No community discussion yet for this question.