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The chief risk officer cro wants to estimate the banks

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Reference no: EM13568891

Your bank is implementing the AIRB approach for credit risk, the AMA for operational risk, and the internal model approach for market risk. The Chief Risk Officer (CRO) wants to estimate the bank's total risk by adding up the regulatory capital for market risk, credit risk, and operational risk. The CRO asks you to identify the problems with using this approach to estimate the bank's total risk. Which of the following statements about this approach is incorrect?

A. It assumes market, credit, and operational risks have zero correlation.

B. It uses a 10-day horizon for market risk.

C. It ignores strategic risks.

D. It ignores the interest risk associated with the bank's loans.

Reference no: EM13568891

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