2016-FRR 무료 덤프문제 온라인 액세스

A proprietary trading desk for a large bank hedges an Arab light OTC forward position with Brent crude oil forwards. The trading desk benefits from using the most liquid OTC market to hedge, the market for the Brent crude, but hedging its using the Brent contract, exposes itself to the following type of risk:

• A.Seasonality risk
• B.Basis risk
• C.Term risk
• D.Correlation risk

By lowering the spread on lower credit quality borrowers, the bank will typically achieve all of the following outcomes EXCEPT:

• A.Higher losses in case of default
• B.Rapid growth
• C.Aggressively courting of new business
• D.Lower probability of default

Which one of the four following statements about technology systems for managing operational risk event data is incorrect?

• 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 event databases are independent elements of the operational risk management framework.
• C.Operational risk event databases are always integrated with the other components of the operational risk management program.
• D.Operational risk loss event data collection software can be internally developed.

Asset and liability management is typically concerned with all of the following activities:
I). Maintaining the desired liquidity structure of the bank.
II). Managing the factors affecting the structure and composition of a bank's balance sheet.
III). Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer price.
IV). Focusing on the circumstances impacting the stability of income the bank generates over time.

• A.II, III
• B.I
• C.I, II, IV
• D.III, IV

Which one of the four following statements about back testing the VaR models is correct?
Back testing requires

• A.Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.
• B.Plotting the daily profit and losses along with the ranges predicted by VaR models
• C.Determining the proportion of daily profits exceeding those predicted by VaR.
• D.Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.