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| Section | Objectives |
|---|---|
| Topic 1: Market Risk | - Market Risk Models and VAR - Market Risk Measurement Techniques |
| Topic 2: Funds Transfer Pricing (FTP) | - FTP Framework and Methodologies - FTP Implementation and Governance |
| Topic 3: Asset-Liability Management (ALM) | - Interest Rate Risk in the Banking Book - Liquidity and Funding Risk Management |
| Topic 4: Risk Management Frameworks | - Enterprise Risk Management Principles - Governance and Risk Culture |
| Topic 5: Counterparty Risk | - Counterparty Exposure and Collateral Management - Pre-Settlement and Settlement Risk |
| Topic 6: Operational Risk | - Operational Risk Measurement and Controls - Operational Risk Identification and Assessment |
| Topic 7: Credit Risk | - Credit Risk Mitigation and Management - Credit Risk Analysis and Measurement |
Calculate the 1-year 99% credit VaR of a portfolio of two bonds, each with a value of $1m, and the probability of default of 1% each over the next year. Assume the recovery rate to be zero, and the defaults of the two bonds to be uncorrelated to each other.
Correct Answer: A 🗳️
Explanation: Only visible for Prep4away members. You can sign-up / login (it's free).
For a group of assets known to be positively correlated, what is the impact on economic capital calculations if we assume the assets to be independent (or uncorrelated)?
Correct Answer: B 🗳️
Explanation: Only visible for Prep4away members. You can sign-up / login (it's free).
For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:
Correct Answer: C 🗳️
Explanation: Only visible for Prep4away members. You can sign-up / login (it's free).
A bank holds a portfolio of corporate bonds. Corporate bond spreads widen, resulting in a loss of value for the portfolio. This loss arises due to:
Correct Answer: D 🗳️
Explanation: Only visible for Prep4away members. You can sign-up / login (it's free).
A portfolio has two loans, A and B, each worth $1m. The probability of default of loan A is 10% and that of loan B is 15%. The probability of both loans defaulting together is 1%. Calculate the expected loss on the portfolio.
Correct Answer: A 🗳️
Explanation: Only visible for Prep4away members. You can sign-up / login (it's free).
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