ICBRR 무료 덤프문제 온라인 액세스

What is the role of market risk management function within a bank?
I. Control and minimize the risks the bank should take.
II. Establish a comprehensive market risk policy framework.
III. Define, approve and monitor risk limits.
IV.
Perform stress tests and other qualitative risk assessments.

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

A risk analyst at EtaBank wants to estimate the risk exposure in a leveraged position in Collateralized Debt Obligations. These particular CDOs can be used in a repurchase transaction at a 20% haircut. If the VaR on a $100 unleveraged position is estimated to be $30, what is the VaR for the final, fully leveraged position?

• A.$100
• B.$50
• C.$150
• D.$20

John owns a bond portfolio worth $2 million with duration of 10. What positions must he take to hedge this portfolio against a small parallel shifts in the term structure.

• A.Long position worth $20 million with duration of 1.
• B.Short position worth $2 million with duration of 10.
• C.Short position worth $20 million with duration of 1.
• D.Long position worth $2 million with duration of 10.

On January 1, 2010 the TED (treasury-euro dollar) spread was 0.9%, and on January 31, 2010 the TED spread is 0.4%. As a risk manager, how would you interpret this change?

• A.The decrease in the TED spread indicates an increase in credit risk on interbank loans.
• B.The decrease in the TED spread indicates a decrease in credit risk on interbank loans.
• C.Increase in credit risk on T-bills.
• D.Increase in interest rates on both interbank loans and T-bills.

Company A needs to provide a risk probability/frequency score for its RCSA program. If the event is likely to happen once in 2 years, then the frequency score will be equal to:

• A.0.5
• B.2
• C.0.2
• D.1