8010 무료 덤프문제 온라인 액세스

What does a middle office do for a trading desk?

• A.Transaction data entry
• B.Risk analysis
• C.Reconciliations
• D.Operations

An operational loss severity distribution is estimated using 4 data points from a scenario. The management institutes additional controls to reduce the severity of the loss if the risk is realized, and as a result the estimated losses from a 1-in-10-year losses are halved. The 1-in-100 loss estimate however remains the same.
What would be the impact on the 99.9th percentile capital required for this risk as a result of the improvement in controls?

• A.Can't say based on the information provided
• B.The capital required will stay the same
• C.The capital required will increase
• D.The capital required will decrease

Credit exposure for derivatives is measured using

• A.Forward looking exposure profile of the derivative
• B.Standard normal distribution
• C.Current replacement value
• D.Notional value of the derivative

Which of the following is not true about the ISDA master agreement (ISDA MA):

• A.The CSA (Credit Support Annex) is one of the parts of the ISDA MA
• B.All transactions under the ISDA MA are considered separate obligations
• C.The ISDA MA describes events of default, and termination events
• D.The ISDA MA describes the close out process

If X represents a matrix with ratings transition probabilities for one year, the transition probabilities for 3 years are given by the matrix:

• A.P x P x P
• B.P ^ (-3)
• C.3 [P]
• D.3 [P ^ (-1)]