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    Question

    In risk management (Basel framework) advanced internal

    ratings-based (A-IRB) approach is used for measurement of?
    A Credit Risk Correct Answer Incorrect Answer
    B Operational Risk Correct Answer Incorrect Answer
    C Market Risk Correct Answer Incorrect Answer
    D Liquidity Risk Correct Answer Incorrect Answer
    E All of the above Correct Answer Incorrect Answer

    Solution

    Under A-IRB banks are supposed to use their own quantitative models to estimate PD (probability of default), EAD (exposure at default), LGD (loss given default) and other parameters required for calculating the RWA (risk-weighted asset). 

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