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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...
The generalized Pareto distribution, when used in the context of operational risk, is used to model:
The generalized Pareto distribution, when used in the context of operational risk, is used to model:A . Tail eventsB . Average lossesC . Unexpected lossesD . Expected lossesView AnswerAnswer: A Explanation: Some risk experts have suggested the use of extreme value theory to model tail risk or extreme events for...
Which of the following statements are correct?
Which of the following statements are correct? I. A reliance upon conditional probabilities and a-priori views of probabilities is called the 'frequentist' view II. Knightian uncertainty refers to things that might happen but for which probabilities cannot be evaluated III. Risk mitigation and risk elimination are approaches to reacting to...
Which of the following situations are not suitable for applying parametric VaR:
Which of the following situations are not suitable for applying parametric VaR: I. Where the portfolio's valuation is linearly dependent upon risk factors II. Where the portfolio consists of non-linear products such as options and large moves are involved III. Where the returns of risk factors are known to be...
When compared to a low severity high frequency risk, the operational risk capital requirement for a medium severity medium frequency risk is likely to be:
When compared to a low severity high frequency risk, the operational risk capital requirement for a medium severity medium frequency risk is likely to be:A . ZeroB . LowerC . HigherD . Unaffected by differences in frequency or severityView AnswerAnswer: C Explanation: High frequency and low severity risks, for example...
Which of the following is NOT an approach used to allocate economic capital to underlying business units:
Which of the following is NOT an approach used to allocate economic capital to underlying business units:A . Stand alone economic capital contributionsB . Marginal economic capital contributionsC . Fixed ratio economic capital contributionsD . Incremental economic capital contributionsView AnswerAnswer: C Explanation: Other than Choice 'c', all others represent valid...
Which of the following best describes the concept of marginalVaR of an asset in a portfolio:
Which of the following best describes the concept of marginalVaR of an asset in a portfolio:A . Marginal VaR is the value of the expected losses on occasions where the VaR estimate is exceeded.B . Marginal VaR is the contribution of the asset to portfolio VaR in a way that...
What is the combined economic capital for the bank?
The standalone economic capital estimates for the three uncorrelated business units of a bank are $100, $200 and $150 respectively . What is the combined economic capital for the bank?A . 269B . 72500C . 21D . 450View AnswerAnswer: A Explanation: Since the business units are uncorrelated, we can get...
What is the level of economic capital required to cushion unexpected losses?
A loan portfolio's full notional value is $100, and its value in a worst case scenario at the 99% level of confidence is $65. Expected losses on the portfolio are estimated at 10% . What is the level of economic capital required to cushion unexpected losses?A . 25B . 65C...
Under the ISDA MA, which of the following terms best describes the netting applied upon the bankruptcy of a party?
Under the ISDA MA, which of the following terms best describes the netting applied upon the bankruptcy of a party?A . Closeout nettingB . Chapter 11C . Payment nettingD . Multilateral nettingView AnswerAnswer: A Explanation: Netting is the ability to set just the net balances when amounts are both owed...
