8008

Which of the following steps are required for computing the aggregate distribution for a UoM for operational risk once loss frequency and severity curves have been estimated: I. Simulate number of losses based on the frequency distribution II. Simulate the dollar value of the losses from the severity distribution III....

Which of the following are valid techniques used when performing stress testing based on hypothetical test scenarios: I. Modifying the covariance matrix by changing asset correlations II. Specifying hypothetical shocks III. Sensitivity analysis based on changes in selected risk factors IV. Evaluating systemic liquidity risksA . I, II, III and...

For identical mean and variance, which of the following distribution assumptions will provide a higher estimate of VaR at a high level of confidence?A . A distribution with kurtosis = 8B . A distribution with kurtosis = 0C . A distribution with kurtosis = 2D . A distribution with kurtosis...

Which of the following measures can be used to reduce settlement risks:A . escrow arrangements using a central clearing houseB . increasing the timing differences between the two legs of the transactionC . providing for physical delivery instead of netted cash settlementsD . all of the aboveView AnswerAnswer: C Explanation:...

CORRECT TEXT The standard error of a Monte Carlo simulation is:A . ZeroB . The same as that for a lognormal distributionC . Proportional to the inverse of the square root of the sample sizeD . None of the aboveView AnswerAnswer: C Explanation: When we do a Monte Carlo simulation,...

If the 1-day VaR of a portfolio is $25m, what is the 10-day VaR for the portfolio?A . $7.906m $79.06mB . $250mC . Cannot be determined without the confidence level being specifiedView AnswerAnswer: B Explanation: The 10-day VaR is = $25m x SQRT(10) = $79.06m. Choice 'b' is the correct...

Which of the following are elements of 'group risk': I. Market risk II. Intra-group exposures III. Reputational contagion IV. Complex group structuresA . II, III and IVB . II and IIIC . I and IVD . I and IIView AnswerAnswer: A Explanation: The term 'group risk' has been defined in...