correct me for any mistake
Meenakshi:
1.Risk aggregation in ICAAP implies..
a. Sum total of risks measured across various risks
b. Sum total of risks measured in terms of pillar 1 guidelines
c. Sum total of risks measured after accounting for risk diversification
d. assessment of bank's internal capital, capital adequacy assessment and strategy
2. Under SRP..
1. supervisors should review and evaluate bank's ICAAP
2. Banks must have capital for projected growth
3. Supervisors may advise banks to hold capital in excess of regulatory capital
a. 1 and 2 are true
b. 2 and 3 are true
c. 3 and 1 are true
d. all are true
3. ICAAP document of the bank may not contain..
a. Anticipated capital expenditure
b. monitoring system for complaince with internal policies
c. Strategic plan of the bank
d. All these may be included in ICAAP document
4. Principle of proportionality in ICAAP implies..
a. increasing capital as business increases
b. Apportioning of capital across various risk categories proportionally
c. Additional capital for risks not covered under pillar 1 guidelines in proportion to capital requirement assessed
d. Higher degree of sophistication in risk assessment methodolies as complexity of banking operation increases
5. ICAAP and SREP are two important components...
a. Minimum Capital requirements
b. Supervisory Review Process
c. Market Discipline
d. All the above
6. The ultimate responsibility for designing and implementation of ICAAP lies with..
a. Bank's board of directors
b. RBI
c. FEDAI
d. BCBG
7. Which of the following is not one of the three principles of Basel 2?
a. Minimum Capital requirements
b. Supervisory Review Process
c. Market Discipline
d. capital for market risks
8. Pillar -II supervisory review consists of...
a. evaluate risk Assessment
b. Ensure Soundness and Integrity of Bank's Internal process to assess the Capital Adequacy
c. Ensure maintenance of maximum capital with PCA for shortfall
d. Prescribe differential capital, where necessary i.e. where the internal process are slack
9. Under Supervisory Review process, a bank would be called "outlier" if the bank is under... basis point interest rate shock and faces reduction in capital by... % or more
a. 100,10
b. 100,20
c. 200,10
d. 200, 20
10. Three pillars of Basel 2 are
a. Independent of each other
B. Complimentary
c. both a and b
11. The Basel II revised framework consists of three mutually reinforcing pillars. out of the following which is not the reinforcing pillar?
a. Minimum Capital requirements
b. Supervisory Review Process
c. Market Discipline
d. None
12. The main purpose of the supervisory Review as per Basel II is:
a) To ensure that banks are profitable
b) To ensure that credit risk is adequately managed by banks
c) To ensure that banks have adequate capital to support all risks
d) To encourage banks to develop and use better management techniques
e) Both (c) & (d)
13. As per principle of supervisory review banks should have process for
a) assessing capital adequacy in relation to risk profile
b) strategy for maintaining capital levels
c) strategy for achieving profit targets
d) Both (a) & (b)
e) Both (b) & (c)
14. As per principle 2 of supervisory review, emphasis should be on quality of the risk
management and control which would involve:
a) On site inspection and off site review
b) Review of work done by Auditor
c) Discussions with Bank Management
d) Both (a) & (c) only
e) All of these
15. As per principle 3 of the Supervisory Review, banks should operate at
a. Minimum regulatory capital ratio
b. Above regulatory capital ratio
16. Under Supervisory Review, the supervisors are expected to concentrate on:
a) Risks not considered under Pillar I such as credit concentration Risk
b) Risks considered under Pillar but fully captured such as strategic risk or interest rate risk in the banking book
c) Factors external to the bank e.g. business cycle effects
d) All of these e) None of these
17. As per 2nd Pillar of Basel II when supervisors are expected to invervene?
a) regularly b) continuous basis c) yearly d) whenever necessary
18. As per Basel II, which of the following issues require focused attention of supervisors
a) Interest rate risk in the Banking Book
b) Operational Risk
c) Credit concentration risk
d) All of these
e) None of these
19. Supervisory review would not include:
a) Evaluating risk assessment of banks by RBI
b) Ensuring soundness and integrity of bank's internal processes to assess the adequacy of capital
c) Ensuring maintenance of minimum capital with prompt corrective action for shortfall
d) All of these e) None of these
...........
Haircut :
by Nilesh Kumar:
Maan lo koi loan diya bank ne..100 crore ka..
100 crore kiCollateral/security k against.. 2 saal me repay krna hai...
To kse uske liye risk weight asset count kiya jata hai...
Haircut se simple language me smjh lo ki 2 saal tk wo 100crore security ki value 100 crore hi ni rhegi..time k sath kuch km bhi ho skti hai...but loan aapne de diya 100crore...ab apko risk weight assets dekhna hai.. jispe risk ho loss hone ka...
100 crore ka loan
Loan maturity 2yr
Security 100crore
Table se dekhogi to dikhega 2yr k liye govt security ka haircut 2%
Matlab govt security/collateral will lost it's value by 2% in 2 yr..
To collateral value hui ek trh se 98crore
Abhi tumne loan diya hai 100crore..
Aur tumhare paas security hai 98 crore k equivalent..
To tumhara net exposure kitna hua..
2crore...
Ab RWA nikl jayega wo bhi table me diya hua hai..
Jaise BB rated company ko agr loan diya hota ...to 2crore net exposure. But RWA for BB rated loan is 150%
So 3 crore RWA
Now capital required for RWA is 9%
Which will be 9% of 3 crore = 27 lac
Ye bss smjhaya hai concept....baaki buk pdhke smjh aa jayega easily..
Meenakshi:
if bank granted loan of 100 cr .. n we have to repay in 2 yrs against collateral /security....for that we count risk weight asset....
haircut.. in 2 yrs the value if 100 cr will remain same ..it wi not change with time..if we have granted loan then than we have to see rwa..in which there are chances of loss
100 cr loan
loan security 2 yr
security 100 cr
if we see table we get for 2 yr loan haircut is 2% means for govt security/collateral will lost its value by 2% in 2 yr ...so collateral value in that way is 98 cr n we have security equivalent to 98 cr..
net exposure is 2 cr
now calculate rwa from table
like loan granted to bb rated company then 2 cr net exposure but rwa is 150% for this so 3 cr rwa
now capital required is 9%
which will be 9%of 3 cr =27lac
A haircut is the difference between the loan amount and the actual value of the asset used as collateral. It reflects the lender's perception of the risk of fall in the value of assets. But in the context of loan recoveries, it is the difference between the actual dues from a borrower and the amount he settles with the bank.
Compare it with margin..It is nothing but margin
In short fall back of security value n outstanding
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