PRMIA Exam 8010 Topic 1 Question 43 Discussion

Which of the following statements are true:

1. Credit VaR often assumes a one year time horizon, as opposed to a shorter time horizon for market risk as credit activities generally span a longer time period.

2. Credit losses in the banking book should be assessed on the basis of mark-to-market mode as opposed to the default-only mode.

3. The confidence level used in the calculation of credit capital is high when the objective is to maintain a high credit rating for the institution.

4. Credit capital calculations for securities with liquid markets and held for proprietary positions should be based on marking positions to market.