GARP Financial Risk and Regulation (FRR) Series - 2016-FRR무료 덤프문제 풀어보기
Which one of the four following activities is NOT a component of the daily VaR computing process?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
A trader inadvertently booked a trade with incorrect information. A subsequent market move resulted in a gain to the bank. Should the bank include this amount of gain into its operational loss event data program?
I. The bank should include this gain in its operational loss event data program as a gain realized due to operational risk events.
II. The bank should include this gain in its operational loss event data program as it indicates that a control failed or a process is flawed.
III. The bank should include this event in its operational loss event data program and record the gain as a loss resulting from operational risk.The bank should not include this event in its operational loss event data program as it is not a loss event, but a market risk event.
I. The bank should include this gain in its operational loss event data program as a gain realized due to operational risk events.
II. The bank should include this gain in its operational loss event data program as it indicates that a control failed or a process is flawed.
III. The bank should include this event in its operational loss event data program and record the gain as a loss resulting from operational risk.The bank should not include this event in its operational loss event data program as it is not a loss event, but a market risk event.
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following statements presents an advantage of using risk and control self-assessments (RCSA) in the operational risk framework?
I. RCSA provides very accurate scoring of risks and controls due to its subjective nature.
II. RCSA program provides insight into risks that exist in a firm, but that may or may not have occurred before.
III. RCSA program can produce biased but transparent operational risk reporting.
IV. RCSA program allows each department to take ownership of its own risks and controls.
I. RCSA provides very accurate scoring of risks and controls due to its subjective nature.
II. RCSA program provides insight into risks that exist in a firm, but that may or may not have occurred before.
III. RCSA program can produce biased but transparent operational risk reporting.
IV. RCSA program allows each department to take ownership of its own risks and controls.
정답: A
설명: (Fast2test 회원만 볼 수 있음)
According to the Basel I Accord, which of the following could be used as Tier 1 capital?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
On January 1, 2010 the TED (treasury-euro dollar) spread was 0.4%, and on January 31, 2010 the TED spread is 0.9%. As a risk manager, how would you interpret this change?
정답: D
설명: (Fast2test 회원만 볼 수 있음)
Which one of the four following aspects of legal risk is NOT included in the Basel II Accord?
정답: A
설명: (Fast2test 회원만 볼 수 있음)
Which one of the following four statements correctly defines a non-exotic call option?
정답: A
설명: (Fast2test 회원만 볼 수 있음)
What is the explanation offered by the liquidity preference theory for the upward sloping yield curve shape?
정답: A
설명: (Fast2test 회원만 볼 수 있음)
Altman's Z-score incorporates all the following variables that are predictive of bankruptcy EXCEPT:
정답: A
설명: (Fast2test 회원만 볼 수 있음)
The risk management department of VegaBank wants to set guidelines on commodity carry trades. Which of the following strategies should she pursue to achieve a profitable commodity carry?
I. Buy short-term commodity futures and sell longer-dated position when the curve is in contango.
II. Buy short-term commodity futures and sell longer-dated position when the curve is in backwardation.
III. Buy long-term commodity futures and sell shorter-dated positions when the curve is in contango.
IV. Buy long-term commodity futures and sell shorter-dated positions when the curve is in backwardation.
I. Buy short-term commodity futures and sell longer-dated position when the curve is in contango.
II. Buy short-term commodity futures and sell longer-dated position when the curve is in backwardation.
III. Buy long-term commodity futures and sell shorter-dated positions when the curve is in contango.
IV. Buy long-term commodity futures and sell shorter-dated positions when the curve is in backwardation.
정답: C
설명: (Fast2test 회원만 볼 수 있음)
According to the largest global poll of foreign exchange market participants, which one of the following four global financial institutions was the most active participant in the global foreign exchange market?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
Rising TED spread is typically a sign of increase in what type of risk among large banks?
I. Credit risk
II. Market risk
III. Liquidity risk
IV. Operational risk
I. Credit risk
II. Market risk
III. Liquidity risk
IV. Operational risk
정답: A
설명: (Fast2test 회원만 볼 수 있음)
An options trader for a large institutional investor takes a long equity option position. Which of the following risks need to be considered when taking this position?
I. All the risks of underlying equities
II. Perceived volatility changes
III. Future dividends yields
IV. Risk-free interest rates
I. All the risks of underlying equities
II. Perceived volatility changes
III. Future dividends yields
IV. Risk-free interest rates
정답: A
설명: (Fast2test 회원만 볼 수 있음)
A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for every JPY 1 increase in his forward position. At first approximation, what is the overall result of the options positions?
정답: B
설명: (Fast2test 회원만 볼 수 있음)