Q92. Loss provisioning is intended to cover:

Q93. In respect of operational risk capital calculations, the Basel II accord recommends a confidence leveland time horizon of:

Q94. Whichof the following statements are true in relation to Historical Simulation VaR?
I. Historical Simulation VaR assumes returns are normally distributed but have fat tails II. It uses full revaluation, as opposed to delta or delta-gamma approximations III. Acorrelation matrix is constructed using historical scenarios IV. It particularly suits new products that may not have a long time series of historical data available

Q95. Which of the following are a CRO’s responsibilities:
I. Statutory financial reporting
II. Reporting to the audit committee
III. Compliance with risk regulatory standards
IV. Operational risk

Q96. Which of the following is a cause ofmodel risk in risk management?

Q97. The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:

Q98. Under the KMV Moody’s approach to calculating expectingdefault frequencies (EDF), firms’ default on obligations is likely when:

Q99. Which of the following is the most important problem to solve for fitting a severity distribution for operational risk capital:

Q100. There are two bonds in a portfolio, each with a marketvalue of $50m. The probability of default of the two bonds over a one year horizon are 0.03 and 0.08 respectively. If the default correlation is zero, what is the one year expected loss on this portfolio?

Q101. The definition of operational risk per Basel II includes which of the following:
I. Riskof loss resulting from inadequate or failed internal processes, people and systems or from external events II. Legal risk III. Strategic risk IV. Reputational risk

Q102. The CDS quote for the bonds of Bank X is 200 bps. Assuming a recovery rate of 40%, calculate the default hazard rate priced in the CDS quote.

Q103. Which of the following formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.) A)

B)

C)

D)
All of the above

Q104. The VaR of a portfolio at the 99% confidence level is $250,000 when mean return is assumed to be zero. If the assumption of zero returns is changed to an assumption of returns of $10,000, what is the revised VaR?

Q105. Which of the following best describes a ‘break clause ?

Q106. In estimating credit exposure for a line of credit, it is usual to consider:

Q107. Which of the following are valid criticisms of value at risk:
I. There are many risks that a VaR framework cannot model
II. VaR does not considerliquidity risk
III. VaR does not account for historical market movements
IV. VaR does not consider the risk of contagion

Q108. Which of the following statements are true ?
I.Risk governance structures distribute rights and responsibilities among stakeholders in the corporation II. Cybernetics is the multidisciplinary study of cyber risk and control systems underlying information systems in an organization III. Corporate governance is a subset of the larger subject of risk governance IV. The Cadbury report was issued in the early 90s and was one of the early frameworks for corporate governance