8010 무료 덤프문제 온라인 액세스

What percentage of average annual gross income is to be held as capital for operational risk under the basic indicator approach specified under Basel II?

• A.0.15
• B.0.12
• C.0.08
• D.0.125

Which of the following is true in relation to the application of Extreme Value Theory when applied to operational risk measurement?
I. EVT focuses on extreme losses that are generally not covered by standard distribution assumptions II. EVT considers the distribution of losses in the tails III. The Peaks-over-thresholds (POT) and the generalized Pareto distributions are used to model extreme value distributions IV. EVT is concerned with average losses beyond a given level of confidence

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

Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution for operational risk?

• A.A firm wide operational risk distribution is set to be equal to the product of the frequency and severity distributions
• B.A firm wide operational risk distribution is generated by adding together the frequency and severity distributions
• C.A firm wide operational risk distribution is generated using Monte Carlo simulations
• D.The frequency distribution alone forms the basis for the loss distribution for operational risk

Which of the following is not a measure of risk sensitivity of some kind?

• A.Convexity
• B.Delta
• C.CR01
• D.PL01

Which of the following does not affect the credit risk facing a lender institution?

• A.The degree of geographical or sectoral concentration in the loan book
• B.Credit ratings of individual borrowers
• C.The state of the economy
• D.The applicability or otherwise of mark tomarket accounting to the institution