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Which of the following belong to the family of generalized extreme value distributions:
Which of the following belong to the family of generalized extreme value distributions: I. Frechet II. Gumbel III. Weibull IV. ExponentialA . IVB . I, II and IIIC . II and IIID . All of the aboveView AnswerAnswer: B Explanation: Extreme value theory focuses on the extreme and rare events,...
Which of the following decisions need to be made as part of laying down a system for calculating VaR:
Which of the following decisions need to be made as part of laying down a system for calculating VaR: I. The confidence level and horizon II. Whether portfolio valuation is based upon a delta-gamma approximation or a full revaluation III. Whether the VaR is to be disclosed in the quarterly...
When combining separate bottom up estimates of market, credit and operational risk measures, a most conservative economic capital estimate results from which of the following assumptions:
When combining separate bottom up estimates of market, credit and operational risk measures, a most conservative economic capital estimate results from which of the following assumptions:A . Assuming that the resulting distributions have a correlation between 0 and 1B . Assuming that market, credit and operational risk estimates are perfectly...
Which of the following is closest to the description of a 'risk functional'?
Which of the following is closest to the description of a 'risk functional'?A . A risk functional is the distribution thatmodels the severity of a riskB . A risk functional is a model distribution that is an approximation of the true loss distribution of a riskC . Risk functional refers...
If EV be the expected value of a firm's assets in a year, and DP be the 'default point' per the KMV approach to credit risk, and be the standard deviation of future asset returns, then the distance-to-default is given by:
If EV be the expected value of a firm's assets in a year, and DP be the 'default point' per the KMV approach to credit risk, and be the standard deviation of future asset returns, then the distance-to-default is given by: A) B) C) D) A . Option AB ....
What data quality attribute is missing in this situation?
A bank's detailed portfolio data on positions held in a particular security across the bank does not agree with the aggregate total position for that security for the bank . What data quality attribute is missing in this situation?A . Data completenessB . Data integrityC . AuditabilityD . Data extensibilityView...
Which of the following belong in a credit risk report?
Which of the following belong in a credit risk report?A . Exposures by countryB . Exposures by industryC . Largest exposures by counterpartyD . All of the aboveView AnswerAnswer: D Explanation: All the listed variables are relevant to management monitoring the credit risk profile of an institution, therefore Choice 'd'...
Which of the following statements are true:
Which of the following statements are true: I. A transition matrix is the probability of a security migrating from one rating class to another during its lifetime. II. Marginal default probabilities refer to probabilities of default in a particular period, given survival atthe beginning of that period. III. Marginal default...
What data quality attribute is missing in this situation?
A bank's detailed portfolio data on positions held in a particular security across the bank does not agree with the aggregate total position for that security for the bank . What data quality attribute is missing in this situation?A . Data completenessB . Data integrityC . AuditabilityD . Data extensibilityView...
If F be the face value of a firm's debt, V the value of its assets and E the market value of equity, then according to the option pricing approach a default on debt occurs when:
If F be the face value of a firm's debt, V the value of its assets and E the market value of equity, then according to the option pricing approach a default on debt occurs when:A . F > VB . V < EC . F < VD . F...
