問題1
James Johnson has a $1 million long position in ThetaGroup with a VaR of 0.3 million, and $1 million long position in VolgaCorp with a VaR of 0.4 million. The returns of the two companies have zero correlation.
What is the portfolio VaR?
James Johnson has a $1 million long position in ThetaGroup with a VaR of 0.3 million, and $1 million long position in VolgaCorp with a VaR of 0.4 million. The returns of the two companies have zero correlation.
What is the portfolio VaR?
正確答案: D
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問題2
Which of the following are conclusions that could be drawn from the shape of the statistical distribution of losses that a bank might incur over a future time period?
I. In most years a bank would look more profitable than it will be on average.
II. Most of the time a sufficiently well capitalized bank will appear over-capitalized.
III. Bad years do not come along very often, but when they do they lead to enormous losses.
Which of the following are conclusions that could be drawn from the shape of the statistical distribution of losses that a bank might incur over a future time period?
I. In most years a bank would look more profitable than it will be on average.
II. Most of the time a sufficiently well capitalized bank will appear over-capitalized.
III. Bad years do not come along very often, but when they do they lead to enormous losses.
正確答案: B
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問題3
According to Basel II what constitutes Tier 3 capital?
According to Basel II what constitutes Tier 3 capital?
正確答案: C
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問題4
Which one of the following four physical commodities markets has the right combination of characteristics that generally allows short selling in the market, without making the short-selling transaction prohibitively expensive?
Which one of the following four physical commodities markets has the right combination of characteristics that generally allows short selling in the market, without making the short-selling transaction prohibitively expensive?
正確答案: A
說明：（僅 NewDumps 成員可見）
問題5
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?
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?
正確答案: C
說明：（僅 NewDumps 成員可見）
問題6
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.
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.
正確答案: C
說明：（僅 NewDumps 成員可見）
問題7
Beta Insurance Company is only allowed to invest in investment grade bonds. To maximize the interest income, Beta Insurance Company should invest in bonds with which of the following ratings?
Beta Insurance Company is only allowed to invest in investment grade bonds. To maximize the interest income, Beta Insurance Company should invest in bonds with which of the following ratings?
正確答案: D
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問題8
The exercise for an American type option prior to expiration day is virtually certain in the following case:
The exercise for an American type option prior to expiration day is virtually certain in the following case:
正確答案: C
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問題9
Gamma Bank is operating in a highly volatile interest rate environment and wants to stabilize its net income by shifting the sources of its earnings from interest rate sensitive sources to less interest rate sensitive sources.
All of the following strategies can help achieve this objective EXCEPT:
Gamma Bank is operating in a highly volatile interest rate environment and wants to stabilize its net income by shifting the sources of its earnings from interest rate sensitive sources to less interest rate sensitive sources.
All of the following strategies can help achieve this objective EXCEPT:
正確答案: C
說明：（僅 NewDumps 成員可見）
問題10
Which one of the four following statements about a minimal loss threshold in operational loss data collection is incorrect?
Which one of the four following statements about a minimal loss threshold in operational loss data collection is incorrect?
正確答案: A
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問題11
Which one of the following four statements regarding commodity exchanges is INCORRECT?
Which one of the following four statements regarding commodity exchanges is INCORRECT?
正確答案: D
說明：（僅 NewDumps 成員可見）
問題12
According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I). Debt type and seniority
II). Macroeconomic environment
III). Obligor asset type
IV). Recourse
According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I). Debt type and seniority
II). Macroeconomic environment
III). Obligor asset type
IV). Recourse
正確答案: A
說明：（僅 NewDumps 成員可見）