8011 무료 덤프문제 온라인 액세스

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 difference of the two VaRs.
• C.The sum of the individual VaRs of the two securities.
• D.The root of the sum of squares of the individual VaRs of the two securities.

Which of the following is true for the actuarial approach to credit risk modeling (CreditRisk+):

• A.Default correlations between obligors are accounted for using a multivariate normal model
• B.The approach considers only default risk, and ignores the risk to portfolio value from credit downgrades
• C.The number of defaults is modeled using a binomial distribution where the number of defaults are considered discrete events
• D.The approach is based upon historical rating transition matrices

The largest 10 losses over a 250 day observation period are as follows. Calculate the expected shortfall at a
98% confidence level:
20m
19m
19m
17m
16m
13m
11m
10m
9m
9m

• A.16
• B.14.3
• C.18.2
• D.19.5

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

Which of the following correctly describes survivorship bias:

• A.Survivorship bias is the negative skew in returns data resulting from credits that have survived despite a high probability of default
• B.Survivorship bias is the tendency for failed companies, markets or investments to be excluded from performance data.
• C.Survivorship bias refers to prudent and conservative risk management
• D.Survivorship bias is the positive tail risk that ensures survival over the long run