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Which of the following are measures of liquidity risk I. Liquidity Coverage Ratio II. Net Stable Funding Ratio III. Book Value to Share Price IV. Earnings Per ShareA . III and IVB . I and IIC . II and IIID . I and IVView AnswerAnswer: B Explanation: In December 2009...

Changes in which of the following do not affect the expected default frequencies (EDF) under the KMV Moody's approach to credit risk?A . Changes in the debt levelB . Changes in the risk free rateC . Changes in asset volatilityD . Changes in the firm's market capitalizationView AnswerAnswer: B Explanation:...

Which of the following best describes a 'break clause?A . A break clause gives either party to a transaction the right to terminate the transaction at market price at future date(s)B . A break clause determines the process by which amounts due on early termination will be determinedC . A...

Which of the following statements are true: I. The sum of unexpected losses for individual loans in a portfolio is equal to the total unexpected loss for the portfolio. II. The sum of unexpected losses for individual loans in a portfolio is less than the total unexpected loss for the...

Which of the following statements is true? I. It is sufficient to ensure that a parent entity has sufficient excess liquidity to cover a liquidity shortfall for a subsidiary. II. If a parent entity has a shortfall of liquidity, it can always rely upon any excess liquidity that its foreign...

Which of the following is not a limitation of the univariate Gaussian model to capture the codependence structure between risk factros used for VaR calculations?A . The univariate Gaussian model fails to fit to the empirical distributions of risk factors, notably their fat tails and skewness.B . Determining the covariance...

Which of the following is the most accurate description of EPE (Expected Positive Exposure):A . The maximum average credit exposure over a period of timeB . The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at...

Which of the following methods cannot be used to calculate Liquidity at Risk?A . Monte Carlo simulationB . Analytical or parametric approachesC . Historical simulationD . Scenario analysisView AnswerAnswer: B Explanation: Analytical or parametric approaches are not useful at all for liquidity at risk calculations because there are no neat...

If the default hazard rate for a company is 10%, and the spread on its bonds over the risk free rate is 800 bps, what is the expected recovery rate?A . 40.00%B . 20.00%C . 8.00%D . 0.00%View AnswerAnswer: B Explanation: The recovery rate, the default hazard rate (also called...

Which of the following are measures of liquidity risk I. Liquidity Coverage Ratio II. Net Stable Funding Ratio III. Book Value to Share Price IV. Earnings Per ShareA . III and IVB . I and IIC . II and IIID . I and IVView AnswerAnswer: B Explanation: In December 2009...