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41. Based on a 90% confidence level, how many exceptions in back testing a VaR would be expected over a 250-day trading year?
A. 10
B. 15
C. 25
D. 50
42. Which of the following statements regarding liquidity risk is CORRECT?
A. Asset liquidity risk arises when a financial institution cannot meet payment obligations
B. Flight to quality is usually reflected in a decrease in the yield spread between corporate and government issues
C. Yield spread between on-the-run and off-the-run securities mainly captures the liquidity premium, and not the market and credit risk premium
D. Funding liquidity risk can be managed by setting limits on certain markets or products and by means of diversification
43. Which of the following credit risk models in Basel II attempts to recognize diversification effects through a granularity adjustment?
A. Standardized approach based on external credit ratings provided by external credit assessment institutions
B. Standardized approach based on internal portfolio credit risk model
C. Internal Rating Based approach using internal estimate of creditworthiness, subject to regulatory standards
D. All of the above
44. According to the Basel Committee which of the options below is NOT a qualitative standard that a bank must meet before it is permitted to use the Advanced Measurement Approach (AMA) for operational risk capital:
A. Internal and/or external regulators must perform regular reviews of the operational risk management processes and measurement systems. This review must include both the activities of the business units and of the independent operational risk function
B. There must be regular reporting of operational risk exposures and loss experiences to business unit management, senior management and to the board of directors
C. The bank's internal operational risk measurement system should not be integrated into the day-to-day risk management processes of the bank but should provide a general overview of the operational risks involved in the processes and operations
D. The bank must have an independent operational risk management function that is responsible for the design and implementation of the bank's operational risk framework.
45. According to the Basel Committee which of the options below is NOT a quantitative standard that a bank must meet before it is permitted to use the Advanced Measurement Approach (AMA) for operational risk capital:
A. A bank's risk measurement system should be sufficiently 'granular' to capture the major drivers of operational risk affecting the shape of the tail of the loss estimates
B. Supervisors will require the bank to calculate its regulatory capital as the Unexpected Loss (UL), disregarding the Expected Losses (EL)
C. Internally generated operational risk measures used for regulatory capital purposes must be based on a minimum 5-year observation period of loss data. When the bank first moves to the AMA a 3-year historical data window is acceptable.
D. The tracking of internal loss data | 
发表于 2009-6-13 14:23
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