91. Risk Averse Bank (RAB) has made a loan of USD 100 million at 8% per annum. RAB wants to enter into a total return swap under which it will pay the interest on the loan plus the change in the mark-to-market value of the loan, and in exchange, RAB will get LIBOR + 30 basis points. Settlement payments are made annually. What is the cash flow for RAB on the first settlement date if the mark-to-market value of the loan falls by 2% and LIBOR is 6%?

a.  Net inflow of USD 0.3 million

b.  Net outflow of USD 0.3 million

c.  Net inflow of USD1.7 million

d.  Net outflow of USD 1.7 million

92. Which of the following is not included as an element in calculating operational risk capital under the Advanced Measurement Approach?

a.  Factors reflecting the business environment

b.  Scenario analysis

c.  External data

d.  Key risk indicators

93. Which of the following statements regarding extreme value theory (EVT) is incorrect?

a.  In contrast to conventional approaches for estimating VaR, EVT only considers the tail behavior of the distribution.

b.  Conventional approaches for estimating VaR that assume that the distribution of returns follows a unique distribution for the entire range of values may fail to properly account for the fat tails of the distribution of returns.

c.  EVT attempts to find the optimal point beyond which all values belong to the tail and then models the distribution of the tail separately.

d.  By smoothing the tail of the distribution, EVT effectively ignores extreme events and losses that can generally be labeled outliers.

94.   The joint probability distribution of random variables X and Y is given by f (x, y)=k x y for x=1,2,3, y=1,2,3, and k is a positive constant. What is the probability that X+Y will exceed 5?

a.       1/9

b.       1/4

c.       1/36

d.       Cannot be determined

95.   Which of the following is not an approach for detecting style drift of hedge funds?

a.       Performance attribution

b.       Peer group comparison

c.       Cash flow analysis

d.       Communication with fund manager

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