根据AMA定义，应该是

问题如下：

Bank Theta is a large bank with three business lines: retail banking, commercial banking, and payment and settlement. A risk analyst at the bank is calculating the bank’s operational risk capital using the advanced measurement approach (AMA) introduced under Basel II. Which of the following sets of estimates would the analyst need to make in order to calculate Bank Theta’s total operational risk capital requirement under the AMA?

选项：

A.1-year ES based on loss distributions for each of the three business lines B.1-year VaR based on loss distributions for each of the 21 combinations of business lines and each of the Basel operational risk types C.1-year ES based on loss distributions for each of the 21 combinations of business lines and each of the Basel operational risk types D.3-year average annual gross income for each of the three business lines

解释：

B is correct. The AMA requires banks to consider every combination of 8 specified business lines and the 7 categories of operational risk identified by the Basel Committee. For each of the 56 combinations, banks have to estimate the 99.9 percentile of the 1-year loss. These estimates are then aggregated to determine total operational risk capital, which is set equal to the 99.9 percentile of the loss distribution minus the expected operational loss, or the 99.9% VaR.

Since Bank Theta has 3 of the 8 business lines, its operational risk capital would therefore be 1-year, 99.9% VaR based on loss distributions for each of the 21 (= 7 * 3) combinations of business line and operational risk type.

A is incorrect. This does not correspond with any approach to determining operational risk capital put forth by the Basel Committee.

C is incorrect. VaR, not ES, for each of the 21 combinations would be used.

D is incorrect. This data would be used along with specific percentages for each business line to calculate capital under the Basel II standardized approach.