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Identify the correct sequence of events as it unfolded in the credit crisis beginning 2007:
Identify the correct sequence of events as it unfolded in the credit crisis beginning 2007: I. Mortgage defaults increased II. Collapse in prices of unrelated assets as banks tried to create liquidity III. Banks refused to lend or transact with each other IV. Asset prices for CDOs collapsedA . III,...
When compared to a medium severity medium frequency risk, the operational risk capital requirement for a high severity very low frequency risk is likely to be:
When compared to a medium severity medium frequency risk, the operational risk capital requirement for a high severity very low frequency risk is likely to be:A . HigherB . LowerC . ZeroD . Unaffected by differences in frequency or severityView AnswerAnswer: C Explanation: High frequency and low severity risks, for...
Which of the following statements are true in relation to Historical Simulation VaR?
CORRECT TEXT Which of the following statements are true in relation to Historical Simulation VaR? I. Historical Simulation VaR assumes returns are normally distributed but have fat tails II. It uses full revaluation, as opposed to delta or delta-gamma approximations III. Acorrelation matrix is constructed using historical scenarios IV. It...
Which of the following is not one of the 'three pillars' specified in the Basel accord:
Which of the following is not one of the 'three pillars' specified in the Basel accord:A . Market disciplineB . Supervisory reviewC . National regulationD . Minimum capital requirementsView AnswerAnswer: C Explanation: The three pillars are minimum capital requirements, supervisory review and market discipline. National regulation is not a pillar...
The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:
The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:A . Pre-settlement riskB . Credit riskC . Replacement riskD . Settlement riskView AnswerAnswer: D Explanation: Choice 'd' is the correct answer. Settlement risk, as the name suggests, arises...
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 ....
Which of the following credit risk models relies upon theanalysis of credit rating migrations to assess credit risk?
Which of the following credit risk models relies upon theanalysis of credit rating migrations to assess credit risk?A . KMV's EDF based approachB . The CreditMetrics approachC . The actuarial approachD . The contingent claims approachView AnswerAnswer: B Explanation: The correct answer is Choice 'b'. The following is a brief...
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 ....
Which of the following is not a permitted approach under Basel II for calculating operational riskcapital
Which of the following is not a permitted approach under Basel II for calculating operational riskcapitalA . the internal measurement approachB . the basic indicator approachC . the standardized approachD . the advanced measurement approachView AnswerAnswer: A Explanation: The Basel II framework allows the use of the basic indicator approach,...
What is the range of expected errors in a day within +/- 2 standard deviations if there are 2,000,000 such transactions each day?
A bank expects the error rate in transaction data entry for a particular business process to be 0.005% . What is the range of expected errors in a day within +/- 2 standard deviations if there are 2,000,000 such transactions each day?A . 80 to 120 errors in a dayB...
