1) The provision for credit risk in calculated to cover
a. Expected losses
b. Expected and unexpected
c. Unexpected
d. None of the above
2) Marginal Economic Capital is a suboptimal method to analyze
a. The amount of capital consumed by an instrument
b. The movements of economic capital from one business to another on a
marginal basis
c. The marginal increase in the overall risk
d. The removal of the entire business which represents a significant
share of the total economic capital
3) Which of the following should be considered to compute the Gross
income indicator when using Basic indicator Approach as per BASEL 2
a. Income from Insurance
b. Operating expenses
c. Unrealized income and expenses
d. None of the above
4) Which of the following should be considered to compute the Gross
Income Indicator?
a. Income From insurance
b. Operating Expenses
c. Realized P&L from securities in the banking book
d. Unrealized P&L from securities in the banking book
5. Which is not typically included in casual based definition of OR
a. Strategic Planning
b. Legal Planning
c. People Systems
d. Inadequate or failed operations
6. The Altman credit risk approach is modeled by
a. Focusing only on firms that have defaulted
b. Focusing only on firms that have survived
c. Country accounting
d. Quadratic equation of various accounting measure
7. LGD is a function of
a. Capital Adequacy of counterparty
b. Seniority of the claims
c. Market movements between now and default
d. All
8 Let A & B be 2 uncorrelated risky portfolio with Normally
distributed returns. Their Ceteris Paribus is
a. VAR (A+B) = >VAR (A) + VAR (B)
b. VAR (A+B) < VAR (A) + VAR (B)
c. VAR (A+B) > = VAR (A) + VAR (B)
d. VAR (A+B) can be either > or < than VAR (A) + VAR(B)
Email responses to jason dot jason57 at gmail dot com
Not sure that this is true:), but thanks for a post.
Bottomless