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When looking at the distribution of portfolio credit losses, the shape of the loss distribution is ___ , as the likelihood of total losses, the sum of expected and unexpected credit losses, is ___ than the likelihood of no credit losses.
When looking at the distribution of portfolio credit losses, the shape of the loss distribution is ___ , as the likelihood of total losses, the sum of expected and unexpected credit losses, is ___ than the likelihood of no credit losses.A . Symmetric; lessB . Symmetric; greaterC . Asymmetric; lessD...
What are some of the drawbacks of correlation estimates? Which of the following statements identifies major problems with correlation calculations?
What are some of the drawbacks of correlation estimates? Which of the following statements identifies major problems with correlation calculations? I. Correlation estimates are not able to capture increases in factor co-movements in extreme market scenarios. II. Correlation estimates tend to be unstable. III. Historical correlations may not forecast future...
An associate from the finance group has been identified as an operational risk coordinator (ORC) for her department.
An associate from the finance group has been identified as an operational risk coordinator (ORC) for her department. To fulfill her ORC responsibilities the associate will need to: I. Provide main communication contact with operational risk department II. Provide main reporting contact with audit department III. Coordinate collection of key...
An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.
An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.A . Never, unlimitedB ....
Which one of the following four statements correctly defines chooser options?
Which one of the following four statements correctly defines chooser options?A . The owner of these options decides if the option is a call or put option only when a predetermined date is reached.B . These options represent a variation of the plain vanilla option where the underlying asset is...
Which one of the following is a reason for a bank to keep a commercial loan in its portfolio until maturity?
Which one of the following is a reason for a bank to keep a commercial loan in its portfolio until maturity? I. Commercial loans usually have attractive risk-return profile. II. Commercial loans are difficult to sell due to non standard features. III. Commercial loans could be used to maintain good...
What would be the RAROC for this transaction?
Bank Sigma has an opportunity to do a securitization deal for a credit card company, but has to retain a portion of the residual risk of the deal with an estimated VaR of $8 MM. Its fees for the deal are $2 MM, and the short-term financing costs are $600,000....
Which one of the following four statements represents the advantages of the historical sim-ulation method when calculating VaR?
Which one of the following four statements represents the advantages of the historical sim-ulation method when calculating VaR?A . Solve the problem caused by incorrectly assuming that asset returns are normally distributed.B . Rely on current market data to describe the distribution of returns and determine volatilities.C . Are believed...
