［2008］Topic 71: Basel Reference Readings相关习题 situation, framework, insurance, business

nayizhenfeng

 

AIM 1: Discuss the scope of the Basel II Accord and how it applies to various bank subsidiaries or business relationships.

 

1、MainBank is a bank holding company with two subsidiaries, ElmBank and OakBank. ElmBank is an internationally active bank. OakBank is also an internationally active bank, and OakBank has an insurance subsidiary. The application of the Basel II framework in this situation should be to:

  I. ElmBank on a stand alone basis.

 II. MainBank on a consolidated basis.

III. OakBank’s insurance subsidiary on a stand alone basis.

IV. Oak Bank without consolidating the insurance subsidiary.

A) I and III only. 

B) III only.  

C) I and II only. 

D) I, II, III and IV. 

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nayizhenfeng

 

2、Which of the following does the supervisory pillar of Basel II NOT intend to provide?

A) a clear interpretation of the results of the analytical models.  

B) clear signals to the market resulting from risk models.   

C) clear signals on a bank’s market valuation.   

D) required capital adjusted for institutional differences.

nayizhenfeng

 

The correct answer is C

 

Pillar 2 (supervision) of Basel II should bring balance to the model by providing clear interpretation of the result of the analytical models and clear signals to the market. Supervision will determine the required capital for each bank, including necessary adjustments for institutional differences.

nayizhenfeng

 

3、Which of the following is a concern about the implementation of the supervisory and market discipline pillars of Basel II?

A) Studies suggest VAR measures do not provide useful information for valuation.  

B) Supervision, not analytics will determine the required capital for each bank. 

C) Accounting standards foster inconsistent evaluations by bond raters.   

D) More than one of the above.

nayizhenfeng

 

The correct answer is C

 

Studies suggest VAR provides useful information. Supervision is supposed to balance omissions and inconsistencies of the analytics alone, using analytical results as inputs.

nayizhenfeng

 

5、Which of the following is NOT true about loan equivalency factor (LEQ)?

A) LEQ estimates are narrowly dispersed.  

B) LEQ provides estimates of commitment drawdown. 

C) LEQ needs to be differentiated by credit quality.   

D) LEQ needs to be differentiated by facility type.

nayizhenfeng

 

The correct answer is A

 

LEQ estimates are widely dispersed.

nayizhenfeng

 

AIM 20: Explain issues regarding the implementation of Pillar 2 (Supervision) and Pillar 3 (Market Discipline) of Basel II.

1、Pillar III of the Basel II accord includes all of the following requirements for internationally active banks EXCEPT:

A) a formal disclosure policy should be established, and supported by a bank’s board of directors. 

B) banks should operate above minimum regulatory capital ratios. 

C) financial statements that fairly reflect financial condition should be published regularly.

D) there should be specific remedial actions in the event of nondisclosure.

nayizhenfeng

 

The correct answer is B

 

The requirement to operate above minimum regulatory capital ratios is a requirement laid out in Pillar II regarding the interaction of supervisors and internationally active banks. Note that Pillar III relates to market discipline and disclosure.