WorksheetsCapital and credit - Pillar I
Total questions: 12
Worksheet time: 6mins
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
The minimum total capital + conservation buffer is
6%
7%
8%
10,5%
In complying with the tier 1 ratio, institutions with low risk weights will find it less difficult to comply with the leverage ratio
True
False
