Explanation
Regardless of the approach being followed by a bank (ie, whether foundation IRB or advanced IRB), it must make its own estimates for the probability of default. Banks following the foundation IRB approach may use values set by the supervisor for the other three parameters, though those following the advanced IRB approach may use their own estimates for all four inputs. (This is also the difference between advanced IRB and the foundation IRB approaches.) Therefore Choice 'a' is the correct answer.
Also note the four difference elements that go as inputs to the internal ratings based approach in the choices provided.

Explanation
A break close, also called a 'mutual put', gives either party the right to terminate a transaction at market price at a given date, or dates in the future. These are usually availed of in longer dated transactions, eg 10 years and over. For example, a 15-year swap might have a mutual put in year 5, and every 2 years thereafter.
All other choices are incorrect.

Explanation
This is an example of pipeline and warehousing risk. Generally there is a lag between acquiring assets and securitizing them due to the legal work to be done, the work to be done by the ratings agencies and in finding investors. During this period, the bank is exposed to the underlying assets purchased, and this is the 'pipeline and warehousing' risk as these assets are in the pipeline and warehoused for intended subsequent sale.
Generally this period tends to be short. However, during the credit crisis this became a significant source of risk as many banks were left exposed to risk they had intended to get rid of, but could not do so as the market dried up. The other choices are all incorrect.
Note that pipeline and warehousing risk is also known as 'securitzation risk'. It means that funding from securitization cannot be relied upon as a matter of fact.

Explanation
Any good risk measure has the property that it is sub-additive, which means the whole is less than the sum of the parts. In the case of VaR, sub-additivity arises due to the diversification effect, or said differently, due to the correlation between different assets being less than one. Therefore Choice 'd' is the correct answer.
Super-additivity is just the opposite of sub-additivity, ie, the whole is greater than the sum of the parts. Good risk measures do not have super-additivity. Therefore Choice 'b' is incorrect.
Choice 'c' states the same thing as Choice 'b' in different words, and is incorrect. Choice 'a' is non-sensical and incorrect.

Explanation
Statement I is correct. The financial system proved to be stable against small shocks and disturbances, or shocks of a particular type (eg, the dotcom crash, the wars in the Persian Gulf); but rather fragile against other types of shocks, including disturbances to key market participants caused by a worsening of mortgage defaults.Statement II is incorrect. Financial innovation, in particular the slicing and dicing of 'risk' through securitization, significantly increased interrelationships, dependence on the same risk factors, and the complexity of the system as a whole.Statement III is incorrect. A distinction is sometimes made between risk that is knowable, measureable, and quantifiable through parameters; and uncertainty, where the parameters are not known at all. The latter is called 'Knightian uncertainty' after the name of the scholar who came up with the distinction between the two.Statement IV is correct. Feedback effects had the greatest impact on liquidity which was tended to be hoarded, and on asset prices that tumbled as market participants tried to sell assets to become more liquid.Thus, choice is a the correct answer.