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| Section | Objectives |
|---|---|
| Topic 1: Counterparty Risk | - Counterparty credit exposure - Netting and collateral management - Derivatives credit risk considerations |
| Topic 2: Funds Transfer Pricing (FTP) | - Internal pricing of funds and liquidity allocation - FTP methodologies |
| Topic 3: Asset-Liability Management (ALM) | - Interest rate risk in the banking book (IRRBB) - Liquidity risk management |
| Topic 4: Operational Risk | - Operational risk management techniques
|
| Topic 5: Credit Risk | - Credit risk measurement and modeling
|
| Topic 6: Risk Management Frameworks | - Enterprise risk management principles
|
| Topic 7: Market Risk | - Interest rate, equity, FX, and commodity risk - Market risk measurement techniques
|
1. 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 approach
A) II and III
B) I, III and IV
C) I and IV
D) All of the above
2. Which of the following statements are true?
I. Retail Risk Based Pricing involves using borrower specific data to arrive at both credit adjudication and pricing decisions II. An integrated 'Risk Information Management Environment' includes two elements - people and processes III. A Logical Data Model (LDM) lays down the relationships between data elements that an organization stores IV. Reference Data and Metadata refer to the same thing
A) I, II and III
B) II and IV
C) I and III
D) All of the above
3. Fill in the blank in the following sentence:
Principal component analysis (PCA) is a statistical tool to decompose a ____________ matrix into its principal components and is useful in risk management to reduce dimensions.
A) Correlation
B) Positive semi-definite
C) Volatility
D) Covariance
4. Which of the following statements is true in respect of a non financial manufacturing firm?
I. Market risk is not relevant to the manufacturing firm as it does not take proprietary positions II. The firm faces market risks as an externality which it must bear and has no control over III. Market risks can make a comparative assessment of profitability over time difficult IV. Market risks for a manufacturing firm are not directionally biased and do not increase the overall risk of the firm as they net to zero over a long term time horizon
A) IV only
B) I and II
C) III and IV
D) III only
5. There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that none of the three bonds will default.
A) 2%
B) 0.11%
C) 0.0006%
D) 94%
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: C | Question # 3 Answer: B | Question # 4 Answer: D | Question # 5 Answer: D |
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