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Under Basel II, if a bank uses the internal ratings-based (IRB) foundation approach for the calculation of credit risk, the bank uses:

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A) Internal estimates of default probabilities and external estimates for other model inputs.

B) Internal estimates of default probabilities and internal estimates for other model inputs.

C) External estimates of default probabilities and external estimates for other model inputs.

D) External estimates of default probabilities and internal estimates for other model inputs.

答案：A

解析：Under the IRB foundation approach the bank uses internal estimates of default probabilities and external estimates for other model inputs. Under the IRB advanced approach the bank would use internal estimates for all inputs. Under the standardized approach all inputs are external estimates.

Which of the following is not a methodology allowed by Basel II accord for measuring Credit Risk?

A) Measure credit risk in a standardized manner, supported by external credit assessments.

B) Amethodology, which is subject to the explicit approval of the banks. A supervisor would allow banks to use their internal rating systems for credit risk.

C) Use external ratings for certain assets and use internal ratings for the rest of the assets.

D) None of the above.

答案：C

解析：A. Incorrect. As it is a method allowed by Basel II for measuring Credit Risk.

B. Incorrect. As it is a method allowed by Basel II for measuring Credit Risk.

C. Correct.As Basel II committee does not allow cherry picking.

D. Incorrect.As C iscorrect.掃碼參與

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