CAIIB BFME Module B & C By Ashish Sir Class 16
Chapter notes, video classes, MCQ practice tests and quick-revision one-liners for Bank Financial Management — CAIIB.
One-liners from this chapter
Free sample — 8 of 66 rapid-fire Q&A cards.
What is the definition of market risk in the context of bank treasury operations?
Market risk is the risk of losses in on- and off-balance-sheet positions arising from movements in market prices, including interest rates, exchange rates, equity prices, and commodity prices.
What is the primary objective of market risk management in banks?
To identify, measure, monitor and control potential trading losses.
Which Basel framework introduced the standardised approach for market risk capital?
The Basel II framework introduced the standardised measurement method, later substantially revised under the Fundamental Review of the Trading Book (FRTB) under Basel III finalization.
What is the difference between systematic risk and unsystematic risk?
Systematic risk affects entire market; unsystematic risk is firm-specific.
What is Value at Risk (VaR) and how is it used in bank risk management?
VaR is a statistical measure estimating the maximum potential loss over a specified time horizon at a given confidence level; banks use it to quantify market risk exposure for capital allocation and internal risk limits.
What is the concept of credit spread risk in bank treasury?
Risk of loss due to widening of credit spreads on held securities.
What confidence level and holding period does RBI typically prescribe for VaR computation for Indian banks?
RBI prescribes a 99% confidence level and a 10-day holding period for computing VaR-based market risk capital for trading book positions.
What is the held-to-maturity (HTM) category in bank investment classification?
Securities held till maturity date, not subject to mark-to-market.
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