8011 무료 덤프문제 온라인 액세스

Which of the following is not an event of default covered in the ISDA Master Agreement?
I). failure to pay or deliver
II). credit support default
III). merger without assumption
IV). Bankruptcy

• A.All are considered events of default
• B.IV
• C.II and III
• D.I

Which of the following is a valid approach to determining the magnitude of a shock for a given risk factor as part of a historical stress testing exercise?
I. Determine the maximum peak-to-trough change in the risk factor over the defined period of the historical event II. Determine the minimum peak-to-trough change in the risk factor over the defined period of the historical event III. Determine the total change in the risk factor between the start date and the finish date of the event regardless of peaks and troughs in between IV. Determine the maximum single day change in the risk factor and multiply by the number of days covered by the stress event

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

Under the standardized approach to calculating operational risk capital under Basel II, negative regulatory capital charges for any of the business units:

• A.Should be ignored completely
• B.Should be excluded from capital calculations
• C.Should be included after ignoring the negative sign
• D.Should be offset against positive capital charges from other business units

As the persistence parameter under GARCH is lowered, which of the following would be true:

• A.The model will react faster to market shocks
• B.High variance from the recent past will persist for longer
• C.The model will give lower weight to recent returns
• D.The model will react slower to market shocks

Which of the following statements is true?

• A.Under times of liquidity stress, both prepayments of loans extended and expected withdrawals from on- demand deposits will decrease
• B.Only the drawn portions of credit facilities extended to clients by a bank count towards its liquidity exposure
• C.For an issuer of life insurance policies, longevity risk can lead to reserves falling short of payments due
• D.Deterioration in the balance sheets of key counterparties is a concern for a liquidity manager even though it may not immediately affect a firm