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Which of the following can be used to reduce credit exposures to a counterparty:
Which of the following can be used to reduce credit exposures to a counterparty: I. Netting arrangements II. Collateral requirements III. Offsetting trades with other counterparties IV. Credit default swapsA . I and IIB . I, II, III and IVC . I, II and IVD . III and IVView AnswerAnswer:...
Which of the following belong to the family of generalized extreme value distributions:
Which of the following belong to the family of generalized extreme value distributions: I. Frechet II. Gumbel III. Weibull IV. ExponentialA . IVB . I, II and IIIC . II and IIID . All of the aboveView AnswerAnswer: B Explanation: Extreme value theory focuses on the extreme and rare events,...
What would be the correct order of steps to addressing data quality problems in an organization?
What would be the correct order of steps to addressing data quality problems in an organization?A . Assess the current state, design the future state, determine gaps and the actions required to be implemented to eliminate the gapsB . Articulate goals, do a 'strategy-fit' analysis and plan for actionC ....
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?
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?A . 260000B . 240000C . 273260D . 226740View AnswerAnswer: B...
A bank prices retail credit loans based on median default rates. Over the long run, it can expect:
A bank prices retail credit loans based on median default rates. Over the long run, it can expect:A . Overestimation of risk and overpricing, leading to lossof market shareB . A reduction in the rate of defaultsC . Correct pricing of risk in the retail credit portfolioD . Underestimation and...
Which of the following statements are true:
Which of the following statements are true: I. Top down approaches help focus management attention on the frequency and severity of loss events, while bottom up approaches do not. II. Top down approaches rely upon high level data while bottom up approaches need firm specific risk data to estimate risk....
Which of the following is NOT true in respect of bilateral close out netting:
Which of the following is NOT true in respect of bilateral close out netting: A. The net amount due is immediately receivable or payable B. All transactions are immediately closed out upon the occurrence of a credit event for either of the counterparties C. All transactions are netted against each...
Which of the following are ordered correctly in the order of debt seniority in a bankruptcy situation?
Which of the following are ordered correctly in the order of debt seniority in a bankruptcy situation? I. Equity, Subordinate debt, Senior debt II. Senior debt, Preferred stock, Equity III. Secured debt, Accounts payable, Preferred stock IV. Secured debt, DIP financing, EquityA . II and IIIB . I and IVC...
Which of the following is the most accurate description of EPE (Expected Positive Exposure):
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...
If a borrower has a default probability of 12% over one year, what is the probability of default over a month?
If a borrower has a default probability of 12% over one year, what is the probability of default over a month?A . 12.00%B . 1.00%C . 2.00%D . 1.06%View AnswerAnswer: D Explanation: Let theprobability of default over a month be p. Therefore the probability of survival at the end of...
