Which of the Following Statements About Recently Adopted Guidelines Covering

Multiple Choice

Which of the following statements about recently adopted guidelines covering capital requirements for market risk that banks are required to perform is false?

A) Banks use a risk measurement model based on a VaR approach.
B) Banks estimate the sensitivity of portfolio components to small changes in prices.
C) Banks must hold capital against risk of loss from changes in interest rates.
D) Banks hold a fixed allocation of funds between various balance sheet assets and off-balance-sheet business.