An important step in structuring a securitization is determining an adequate level of credit support or enhancement. Which of the following ...
2015-12-29 09:12Jennifer Durrant is *uating the existing risk management system of Silverman Asset Management. She is asked to match the following events to ...
2015-12-29 09:12Lawsuits about derivatives to major corporations are most likely to involve which of the following issues? A. The type of derivative. B. Bro ...
2015-12-28 08:12Operational risk sources for a bank include all of the following EXCEPT: A. employee misappropriation. B. default on loans obtained by submi ...
2015-12-28 08:12What are the benefits of novation? A. Both parties are allowed to walk away from the contract in the event of default. B. In a bilateral con ...
2015-12-25 08:12A portfolio includes a position of $1 million invested in DEF shares. The price volatility ofthe shares over one week is 0.5%. The bid-ask s ...
2015-12-25 08:12Risk Averse Bank (RAB) has made a loan of USD 100 million at 8% per annurn.RAB wants to enter into a total return swap under which it will p ...
2015-12-25 08:12A primary criticism with the comparative advantage argument as justification for the existence of swaps is related to which of the following ...
2015-12-25 08:12You are deciding between buying a futures contract on an exchange and buying a forward contract directly from a counterparty on the same und ...
2015-12-25 08:12The efficient frontier is defined by the set of portfolios that, for each volatility level, maximizes the expected return. According to the ...
2015-12-25 08:12The spread on a one-year BBB rated bond relative to the risk-free treasury of similar maturity is 2%. It is estimated that the contribution ...
2015-12-24 09:12The proper selection of factors to include in an ordinary least squares estimation is critical to the accuracy of the result. When does omit ...
2015-12-24 09:12With respect to mortgage-backed securities, and assuming market rates are below the mortgage rate in the pool, a decrease in interest rates ...
2015-12-23 08:12Reduction of risks not under managements control: A. may cause managers to overinvest. B. makes stock options more valuable. C. cannot impro ...
2015-12-23 08:12About concentrations and correlations, which one is correct? A. Concentrations only affect expected loss instead of unexpected loss. B. All ...
2015-12-22 09:12Consider the factors that affect the price of futures contracts on various commodities. Which of the following statements does not accuratel ...
2015-12-22 09:12The BIS regulatory capital treatment for the credit risk of OTC derivatives is: A. (Net Replacement Value) x 8% B. 3 x (Credit VaR) C. (pote ...
2015-12-21 09:12The market portfolio in the Capital Market Theory contains which types of investments? A. All stocks in existence. B. All stocks and bonds i ...
2015-12-21 09:12Which ofthe following statements with respect to current exposure for a counterparty is TRUE? A. Current exposure represents the cost for a ...
2015-12-18 09:12Bemard Madoff Investment Securities (BMIS) Form 13F filings were suspicious because they revealed that the portfolio was in: A. Mostly cash ...
2015-12-18 09:12A U.S. company has previously issued a dual currency bond that pays coupons in euros and principal in yen. A major subsidiary ofthe company ...
2015-12-18 09:12Bob tests the null hypothesis that the population mean is less than or equal to 45. From a population size of 3,000,000 people, 81 observati ...
2015-12-18 09:12The proper selection of factors to include in an ordinary least squares estimation is critical to the accuracy of the result. When does omit ...
2015-12-18 09:12Assume an analyst performs two simple regressions. The first regression analysis has an R-squared of 0.90 and a slope coefficient of 0.10. T ...
2015-12-18 09:12Assume that a portfolio underperformed its benchmark by 2% in the most recent month. In this scenario, A. Alpha is -2% as it refers to the O ...
2015-12-17 12:12Which of the following statements is a key differentiator between a moving average (MA) representation and an autoregressive (AR) process? A ...
2015-12-17 12:12What would be the market risk capital requirement for a bank with a 1-day VAR of $250 and a specific risk surcharge of $75, based on the cur ...
2015-12-16 09:12Which of the following four statements on models for estimating volatility is INCORRECT? A. In the exponentially weighted moving average (EW ...
2015-12-16 09:12Under the IRB approach ofthe Basel II Accord, an unexpected loss: A. Might occur as a result of an economic downturn. B. Should be part of t ...
2015-12-15 13:12Define risk culture and assess the relationship between a firms risk appetite and its risk culture. Barings was forced to declare bankruptcy ...
2015-12-15 13:12
