Operational risk is most poorly defined because: A. the definition of human risk changes periodically. B. it is a component of overall marke ...
2016-01-15 09:01Operational risk is defined as all of the following EXCEPT: A. risk of breakdown in normal operations. B. financial risk that is not caused ...
2016-01-15 09:01Which of the following models of capital allocation estimates the economic capital for a bank and then estimates the economic capital that w ...
2016-01-14 09:01Most often the initial call price of a bond is its: A. par value. B. principal plus a premium. C. par value plus one years interest. D. prin ...
2016-01-14 09:01With respect to the CVA calculation, which ofthe following statements is correct when a risk manager wishes to understand which trades have ...
2016-01-13 09:01If there are restrictions on short selling and borrowing at the risk-free rate, we would expect to see that: A. all investors hold the same ...
2016-01-13 09:01What can be said about the impact of operational risk on both market risk and credit risk? A. Operational risk has no impact on market risk ...
2016-01-12 09:01What is the yield to maturity (YTM) of a 20-year, U.S. zero-coupon bond selling for $300? A. 3.06%. B. 5.90%. C. 6.11%. D. 7.20%. Answer:C N ...
2016-01-12 08:01It would be prudent for a trader to direct accounting entries in the following situation: A. Never. B. when senior management of the firm an ...
2016-01-11 10:01At-the-point approaches tend to be: A. countercyclical. B. procycyclical. C. neither counter- nor procyclical because they rarely change. D. ...
2016-01-11 09:01A 10-year zero coupon bond is callable annually at par (its face value) starting at the beginning of year 6. Assume a flat yield curve of 10 ...
2016-01-08 09:01Which of the following develops more precise estimates of VAR? A. The beta model. B. A full covariance matrix. C. A diagonal matrix. D. The ...
2016-01-08 09:01Which of the following is NOT a required step in determining VAR for a fixed-income portfolio? A. Determine the changes in the values of the ...
2016-01-08 09:01If the one-day value at risk (VaR) of a portfolio is $50,000 at a 95% probability level, this means that we should expect that in one day ou ...
2016-01-08 09:01The difference between a Monte Carlo simulation and a historical simulation is that a historical simulation uses randomly selected variables ...
2016-01-08 09:01When utilizing a proxy for one or more independent variables in a multiple regression model, which of the following errors is most likely to ...
2016-01-08 09:01A bank has an outstanding trade with one of its counterparties with an exposure of $500,000 and a recovery rate of 70%. The bank estimated t ...
2016-01-07 09:01A firm has entered into a $22.5 MM plain vanilla interest rate swap in which it pays fixed at 4.2 percent and receives LIBOR. At inception, ...
2016-01-07 09:01BIS capital requirement for an unfunded, short-term (under one year) credit commitment is: A. 0% B. 4% C. 8% D. 100% Answer:A The current BI ...
2016-01-06 09:01Operational risk is all risk that is NOT: A. exchange rate or interest rate risk. B. credit or interest rate risk. C. credit or market risk. ...
2016-01-06 09:01Using the mortality approach to estimating default probabilities can lead to overestimation if the monality data was gathered from a time pe ...
2016-01-05 16:01Six months ago an investor purchased a bond that was rated BB. Today the bond is upgraded to a BBB rating. The most likely effect of this up ...
2016-01-05 16:01Your bank has HKD 12 billion in revolving credit facilities, of which 70% is currently drawn. For economic capital purposes, the bank uses a ...
2016-01-04 08:01Given of 0.94, under an infinite series, what is the weight assigned to the seventh prior daily squared return? A. 4.68% B. 4.40% C. 4.14% D ...
2016-01-04 08:01Risk-neutral default probability and real-world (or physical) default probability are used in the analysis of credit risk. Which one of the ...
2015-12-31 08:12The ATT pension fund reports total assets worth $19.6 billion and liabilities of $17.4 billion. Assume the surplus has a normal distribution ...
2015-12-31 08:12Bank A has extended a commitment of $10,000,000 and assessed a probability of default of 5%. The loss given default based on historical data ...
2015-12-31 08:12In *uating the dynamic delta hedging of a portfolio of short option positions, which of the following is correct? A. The interest cost of ca ...
2015-12-31 08:12Every year Business Week reports the performance of a group of existing equity mutual funds, selected for their popularity. Taking the avera ...
2015-12-30 09:12A call provision embedded in a corporate bond can be viewed as an option held by the and therefore, The __ price of a callable bond will be ...
2015-12-30 09:12
