NEW QUESTION 34
Which of the following statements is true
I. If no loss data is available, good quality scenarios can be used to model operational risk II. Scenario data can be mixed with observed loss data for modeling severity and frequency estimates III. Severity estimates should not be created by fitting models to scenario generated loss data points alone IV. Scenario assessments should only be used as modifiers to ILD or ELD severity models.

NEW QUESTION 35
If the loss given default is denoted by L, and the recovery rate by R, then which of the following represents the relationship between loss given default and the recovery rate?

NEW QUESTION 36
Under the CreditPortfolio View model of credit risk, the conditional probability of default will be:

NEW QUESTION 37
Which of the following statements are correct in relation to the financial system just prior to the current financial crisis:
I. The system was robustagainst small random shocks, but not against large scale disturbances to key hubs in the network II. Financial innovation helped reduce the complexity of the financial network III. Knightian uncertainty refers to risk that can be quantified and measured IV. Feedback effects under stress accentuated liquidity problems

NEW QUESTION 38
Which of the following is the most important problem to solve for fitting a severity distribution for operational risk capital:

NEW QUESTION 39
A financial institution is considering shedding a business unit to reduce its economic capital requirements.
Which of the following is an appropriate measure of theresulting reduction in capital requirements?

NEW QUESTION 40
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?

NEW QUESTION 41
When building a operational loss distribution by combining a loss frequency distribution and a loss severity distribution, it is assumed that:
I. The severity of losses is conditional upon the numberof loss events
II. The frequency of losses is independent from the severity of the losses III. Both the frequency and severity of loss events are dependent upon the state of internal controls in the bank

NEW QUESTION 42
According to the Basel framework, reserves resulting from the upward revaluation of assets are considered a part of:

NEW QUESTION 43
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 identicalmaturity and notional?

NEW QUESTION 44
Concentration risk in a creditportfolio arises due to:

NEW QUESTION 45
Which of the following measures can be used to reduce settlement risks:

NEW QUESTION 46
Which of the following credit risk models includes a consideration of macro economic variables such asunemployment, balance of payments etc to assess credit risk?

NEW QUESTION 47
What isthe risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?

NEW QUESTION 48
A bank holds a portfolio ofcorporate bonds. Corporate bond spreads widen, resulting in a loss of value for the portfolio. This loss arises due to:

NEW QUESTION 49
Under the ISDA MA, which of the following terms best describes the netting applied upon the bankruptcy of a party?

NEW QUESTION 50
Company A issues bonds with a face value of $100m, sold at issuance at $98. Bank B holds $10m in face of these bonds acquired at a price of $70. What is Bank B’s exposure to the debt issued by Company A?