Capital and credit - Pillar I

Prefered stocks are considered

• CET1 Capital

• Tier 1 Capital

• Tier 2 Capital

• Tier 3 Capital

Which one of the following has the highest default risk and profitability?

• Government's bonds

• Subordinated debt

• Prefered stock

• Shares

The current minimum Tier 1 ratio is

• 4,5%

• 6%

• 8%

• 12,5%

Disadvantages of the standard approach (choose the incorrect)

• Low risk sensivity

• External ratings

• Same capital requirements for broading ratings

• Same capital requirements for unrated companies

The capital calculation consists of four fundamental steps: segmentation, original exposure, approximation and calculation of RWAs

• True

• False

What is the basic requirement for advanced approaches of credit risk calculation?

• Having rating models

• Having scoring odels

• Both

• None of the answers

Gini = (AUC x 2) - 1

• True

• False

Under the advanced approach, the capital calculation is made from capital curves

• Estimated internally

• which are the same for all segmentations

• given by the ECB

• None of the answers

Depending on the way in which the credit risk is transfered, securitisations can be distinguished by traditional (SPV) and synthetic (CDS or guarantees)

• True

• False

Market risk is the risk of losses on financial investments caused by default scenarios

• True

• False