If an institution has $1000 in assets, and $800 in liabilities, what is the economic capital required to avoid insolvency at a 99% level of confidence? The VaR in respect of the assets at 99% confidence over a one year period is $100.

If an institution has $1000 in assets, and $800 in liabilities, what is the economic capital required to avoid insolvency at a 99% level of confidence? The VaR in respect of the assets at 99% confidence over a one year period is $100.A . 200B . 1000C . 100D . 1100 View Answer Answer:...

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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.)

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 aboveA . Option AB . Option BC . Option CD . Option D View...

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Which of the following would not be a part of the principal component structure of the term structure of futures prices?

Which of the following would not be a part of the principal component structure of the term structure of futures prices?A . Curvature componentB . Trend componentC . Parallel componentD . Tilt component View Answer Answer: C Explanation: The trend component refers to parallel shifts in the term structure, the tilt refers to changes...

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Under the standardized approach to calculating operational risk capital, how many business lines are a bank’s activities divided into per Basel II?

Under the standardized approach to calculating operational risk capital, how many business lines are a bank’s activities divided into per Basel II?A . 7B . 15C . 8D . 12 View Answer Answer: C Explanation: In the Standardized Approach, banks’ activities are divided into eight business lines: corporate finance, trading & sales, retail banking,...

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According to the Basel II standard, which of the following conditions must be satisfied before a bank can use ‘mark-to-model’ for securities in its trading book?

According to the Basel II standard, which of the following conditions must be satisfied before a bank can use ‘mark-to-model’ for securities in its trading book? I. Marking-to-market is not possible II. Market inputs for the model should be sourced in line with market prices III. The model should have been created by the...

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The loss severity distribution for operational risk loss events is generally modeled by which of the following distributions:

The loss severity distribution for operational risk loss events is generally modeled by which of the following distributions: I. the lognormal distribution II. The gamma density function III. Generalized hyperbolic distributions IV. Lognormal mixturesA . II and IIIB . I, II and IIIC . I, II, III and IVD . I and III View...

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