capital position是指bank book吗？

问题如下：

John Smith is a bank supervisor responsible for the oversight of Everbright Group, a large banking conglomerate. Everbright Group now determines its credit risk profile according to the foundation IRB approach and assesses operational risk according to the standardized approach as described in the Basel II Capital Accord. Which of the following are specific issues that should be addressed as Dart of Smith’s supervisory review process of Everbright Group?

I. Review the bank’s internal control systems.

II. Check compliance with transparency requirements as described in Pillar 3 of Basel II Accord.

III. Make sure that the bank estimates for LGD and EAD for its corporate loans are in compliance with supervisory estimates.

IV. Evaluate the impact of interest rate risk by assessing the impact of a 200 basis Point interest rate shock to the bank’s capital position.

选项：

A.

I and III only

B.

II and IV only

C.

I, II, and IV only

D.

I, II, III, and IV

解释：

The supervisor’s duties as Dart of the supervisory review process include:

Check compliance with Pillars I and III of Basel II Accord. Which would include credit risk mitigation and transparency requirements. Review internal control systems. Access internal capital management methods employed by the bank. So I and II are correct. Note that the foundation IRB approach. The bank provides its estimates for PD but uses supervisory estimates for LGD and EAD for corporate loans. So III is incorrect. Also, the impact of interest rate risk on the bank’s capital position must be accessed by determining the impact of a 200 basis Point shock or its equivalent. So IV is also correct. Therefore, the correct answer for this question is choice C.