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Which of the following could be reasons to use the hybrid RCSA method?
BetaFin has decided to use the hybrid RCSA approach because it believes that it fits its operational framework. Which of the following could be reasons to use the hybrid RCSA method? I. BetaFin has previously created series of RCSA workshops, and the results of these workshops can be used to...
Which one of the following four metrics is typically used for this purpose?
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this purpose?A . Modified durationB . Duration of defaultC . Effective durationD . Macaulay durationView...
Which one of the following four strategies could the bank use to offset the risk from its current exposure to aluminum as it sets the price for selling the commodity in four-months' time?
Using a forward transaction, Omega Bank buys 100 metric tones of aluminum for delivery in six-months' time. However, after two months, the bank becomes concerned with the potential fluctuations in aluminum prices and wants to hedge its potential exposure against a possible decline in aluminum prices. Which one of the...
In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts comprised approximately what proportion of all types of derivative transactions between financial institutions?
In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts comprised approximately what proportion of all types of derivative transactions between financial institutions?A . 2%B . 7%C . 25%D . 43%View AnswerAnswer: B Explanation: During the second quarter of 2009, transactions in foreign exchange...
Suppose Delta Bank enters into a number of long-term commercial and retail loans at fixed rate prevailing at the time the loans are originated.
Suppose Delta Bank enters into a number of long-term commercial and retail loans at fixed rate prevailing at the time the loans are originated. If the interest rates rise:A . The bank will have to pay higher interest rates to its depositors and would have to pay higher rates on...
Which of the following statements describes correctly the objectives of position mapping?
Which of the following statements describes correctly the objectives of position mapping? I. For VaR calculations, mapping converts positions based on their deltas to underlying factor risks. II. Position mapping models risk factors affecting the value of a position as combination of core risk factors used in the VaR calculations....
Rising TED spread is typically a sign of increase in what type of risk among large banks?
Rising TED spread is typically a sign of increase in what type of risk among large banks? I. Credit risk II. Market risk III. Liquidity risk IV. Operational riskA . I onlyB . II onlyC . I and IVD . I, II, and IIIView AnswerAnswer: D Explanation: The TED spread...
In the United States, Which one of the following four options represents the largest component of securitized debt?
In the United States, Which one of the following four options represents the largest component of securitized debt?A . Education loansB . Credit card loansC . Real estate loansD . Lines of creditView AnswerAnswer: C Explanation: In the United States, the largest component of securitized debt is represented by real...
Which of the following statements about parametric and nonparametric methods for calculating Value-at-risk is correct?
Which of the following statements about parametric and nonparametric methods for calculating Value-at-risk is correct?A . Parametric methods generally assume returns are normally distributed, and non-parametric methods make no assumptions about return distributions.B . Parametric methods make no assumptions about return distributions, and non-parametric methods assume returns are normally distributed.C...
Which of the following risk types does the asset manager need to consider when evaluating her diversified equity portfolio?
An endowment asset manager with a focus on long/short equity strategies is evaluating the risks of an equity portfolio. Which of the following risk types does the asset manager need to consider when evaluating her diversified equity portfolio? I. Company-specific projected earnings and earnings risk II. Aggregate earnings expectations III....
