8008 무료 덤프문제 온라인 액세스

For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:

• A.Insufficient number of simulations when building the loss distribution
• B.Aggregation risk, from selecting an incorrect value of estimated correlations between different operational risk estimates
• C.Choice of incorrect parameters for loss severity distributions
• D.Choice of an incorrect distribution for loss event frequencies

What is the combined VaR of two securities that are perfectly positively correlated.

• A.Combined VaR cannot be derived using the available information.
• B.The sum of the individual VaRs of the two securities.
• C.The difference of the two VaRs.
• D.The root of the sum of squares of the individual VaRs of the two securities.

There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?

• A.100%
• B.0%
• C.25%
• D.40%

A derivative contract has a negative current replacement value. Which of the following statements is true about its loan equivalent value for credit risk calculations over a 2-year horizon?

• A.The notional value of the derivatives contract should be used for loan equivalence calculations.
• B.The credit exposure will be a given quintile of the expected distribution of the value of the derivatives contract in the future.
• C.Since the derivatives contract has a negative current replacement value, exposure will be zero.
• D.The current exposure can be used for loan equivalence calculations as that is an unbiased proxy for the future value.

For a back office function processing 15,000 transactions a day with an error rate of 10 basis points, what is the annual expected loss frequency (assume 250 days in a year)

• A.375
• B.0.06
• C.37500
• D.3750