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For a 10 year interest rate swap, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)
For a 10 year interest rate swap, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)A . 10 yearsB . Right after inceptionC . 2 yearsD . 7 yearsView AnswerAnswer: D Explanation: Right after inception' is incorrect as the interest...
Which of the following risks and reasons justify the use of scenario analysis in operational risk modeling:
Which of the following risks and reasons justify the use of scenario analysis in operational risk modeling: I. Risks for which no internal loss data is available II. Risks that are foreseeable but have no precedent, internally or externally III. Risks for which objective assessments can be made by experts...
What is the probability of default for the corporate bond assuming the recovery rate is zero?
A corporate bond maturing in 1 year yields 8.5% per year,while a similar treasury bond yields 4% . What is the probability of default for the corporate bond assuming the recovery rate is zero?A . 4.15%B . 4.50%C . 8.50%D . Cannot be determined from the given informationView AnswerAnswer: A...
Which of the following statements are true?
Which of the following statements are true? I. Risk governance structures distribute rights and responsibilities among stakeholders in the corporation II. Cybernetics is the multidisciplinary study of cyber risk and control systems underlying information systems in an organization III. Corporate governance is a subset of the larger subject of risk...
Which of the following cannot be used as an internal credit rating model to assess an individual borrower:
Which of the following cannot be used as an internal credit rating model to assess an individual borrower:A . Distance to default modelB . Probit modelC . Logit modelD . Altman's Z-scoreView AnswerAnswer: A Explanation: Altman's Z-score, the Probit and the Logit models can all be used to assess the...
A key problem with return on equity as a measure of comparative performance is:
A key problem with return on equity as a measure of comparative performance is:A . that return on equity is not adjusted for riskB . that return on equity are not adjusted for cash flows being different from accounting earningsC . that return on equity measures do not account for...
What would be the correct order of steps to addressing data quality problems in an organization?
What would be the correct order of steps to addressing data quality problems in an organization?A . Assess the current state, design the future state, determine gaps and the actions required to be implemented to eliminate the gapsB . Articulate goals, do a 'strategy-fit' analysis and plan for actionC ....
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 carry greater counterparty risk: a forward contract on a 10 year note, or a commercial paper carrying a AA credit rating with identical maturity and notional?
Which of the following carry greater counterparty risk: a forward contract on a 10 year note, or a commercial paper carrying a AA credit rating with identical maturity and notional?A . The forward contract has greater credit risk as its future gains are unknownB . Credit risk can not be...
A risk management function is best organized as:
A risk management function is best organized as:A . integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of the organization.B . report independently of the risk taking functionsC . reporting directly to the traders, as to be closest to...
