8010 exam

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 contributed to the systemic failure during the credit crisis that began in 2007?A . Stress tests that did not stress enoughB . Moral hazard from the strategy of 'originate and distribute'C . Inadequate attentionpaid to liquidity riskD . All of the aboveView AnswerAnswer: D Explanation: All...

Credit exposure for derivatives is measured usingA . Current replacement valueB . Notional value of the derivativeC . Forward looking exposure profile of the derivativeD . Standard normal distributionView AnswerAnswer: C Explanation: Current replacement values are a very poor measure of the credit exposure from a derivative contract, because the...

If E denotes the expected value of a loan portfolio at the end on one year and U the value of the portfolio in the worst case scenario at the 99% confidence level, which of the following expressions correctly describes economic capital required in respect of credit risk?A . E...

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 formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.) A) B) C) D) All of the aboveA . Option AB . Option BC . Option CD...

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,...

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 are valid approaches for extreme value analysis given a dataset: I. The Block Maxima approach II. Least squares approach III. Maximum likelihood approach IV. Peak-over-thresholds approachA . II and IIIB . I, III and IVC . I and IVD . All of the aboveView AnswerAnswer: C...

As the persistence parameter under EWMA is lowered, which of the following would be true:A . The model will react slower to market shocksB . The model will react faster to market shocksC . High variance from the recent past will persist for longerD . The model will give lower...