최신 2016-FRR 무료덤프 - GARP Financial Risk and Regulation (FRR) Series

A. The loss data entry must include the actual loss amount.

B. The loss data entry should only include the date when the event was reported.

C. The loss data program must comprehensively capture all material activities.

D. The loss data entry may include descriptive information about the drivers or causes of the loss event.

A. Position sensitivities

B. Position volatility

C. Position concentrations

D. Position turnover

A. Value-weighted average modified duration of the component bonds

B. Maximum of the modified durations of component bonds

C. Minimum of the modified durations of the component bonds

D. Coupon-weighted average modified duration of the component bonds

A. The options positions hedge the forward position by 25%.

B. The option positions hedge the forward position by 50%.

C. The option positions hedge the forward position by 75%.

D. The option positions hedge the forward position by 100%.

A. For cash settled instrument the final market value is used to settle the transaction with the counterparty

B. Margin call by futures exchanges are based on the current market value.

C. Counterparty credit risk calculations are made by analyzing the current values of all deals with the same counterparty.

D. Profit and loss calculations are made by comparing the current values to the intrinsic values.

A. This risk in this strategy is that traders have to take positions that may quickly incur a loss.

B. This strategy is independent of market liquidity and number of other market makers.

C. A market maker that attracts buy and sell orders can make a profit from the spread quoted between the buy and sell price.

D. A market maker can benefit from the market information she gets from the trades she is asked to execute.

A. Standard deviation

B. Kurtosis

C. Skewness

D. Mean

A. The underlying default assumptions failed to develop relatively simple formulas for the determination of portfolio credit risk.

B. These models assumed the default of any obligor was independent of the default of any other.

C. These models effectively incorporated herd behavior.

D. The underlying default assumptions were analytically inconvenient.

A. I, IV

B. II, III

C. II, IV

D. I, II, III

A. Position mapping reduces the possible number of risk factors to a computationally manageable level.

B. I, II and III

C. I and II

D. Position mapping models risk factors affecting the value of a position as combination of core risk factors used in the VaR calculations.

E. II, III, and IV

F. II and IV

G. For VaR calculations, mapping converts positions based on their deltas to underlying factor risks.

H. Position mapping groups similar positions into one group based on the closeness of their respective VaR.

A. As the dollar depreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.

B. As the dollar appreciates relative to the pound, the right to sell dollars at a fixed pound exchange rate increases.

C. As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.

D. As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate decreases.

A. Quality basis

B. Location basis

C. Product basis

D. Calendar spreads basis

A. Attracting and retaining customers often involves offering retail products whose features are different from wholesale market products.

B. Banks with a wide retail base are typically driven by contractual obligations and not simply relationship considerations.

C. The way retail customers behave in relation to the retail banking products they hold often results in the apparent contractual obligation of the parties providing a poor description of the actual nature of the obligations.

D. Pricing of retail products often has more to do with marketing considerations rather than prevailing market price.

A. Macaulay duration

B. Modified duration

C. Duration of default

D. Effective duration

A. Economic capital is the present value of the earnings generated by the bank in the future.

B. Economic capital measures how the economy is doing compared to the bank.

C. Economic capital is determined by rules imposed by an external authority.

D. Economic capital reflects the possible losses that could occur based on the bank's own estimates of the risks it is taking.

A. The implementation of a new operational risk event loss database has to incorporate an analysis of the advantages and disadvantages of external systems.

B. Operational risk loss event data collection software can be internally developed.

C. Operational risk event databases are independent elements of the operational risk management framework.

D. Operational risk event databases are always integrated with the other components of the operational risk management program.

A. 15%

B. 40%

C. 25%

D. 10%

A. II and III

B. I, II, and III

C. I and III

D. I only

A. Oil forward price = Expected future oil price ± Oil market risk premium

B. Oil forward price = Expected future oil price ± Oil storage cost + (1 + Oil market risk premium)

C. Oil forward price = Expected future oil price ± Oil storage cost + (1 - Oil market risk premium)

D. Oil forward price = Expected future oil price ± storage cost + Oil market risk premium

A. Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.

B. Determining the proportion of daily profits exceeding those predicted by VaR.

C. Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.

D. Plotting the daily profit and losses along with the ranges predicted by VaR models