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31. You have been asked to help communicate to business unit managers some practical considerations in developing key risk indicators (KRIs) and collecting data. Which of the following should not be on your list of talking points?
A. KRI definitions will consider the rationale for the risk indicator, description of the measurement criteria, and the sources of data.
B. KRIs must be continually validated and refined.
C. Select KRIs based on their data availability first and predictive value second.
D. Each KRI should be weighted in accordance with its significance, or predictive capabilities
32. Which of the following statements are true?
I. To ensure higher effectiveness in managing operational risk, the operational risk manager's compensation should be linked to trader performance
II. Stop-loss limits are less effective as an operational risk measure than exposure limits because exposure limits consider future market risk movements while stop-loss limits are backward looking
III. As annual audits of listed entities are regulatory and mandatory by nature, they should not be seen as a material part of operational risk management
IV. The long option like feature of most traders' compensation packages substantially increases operational risk
A. I, III and IV
B. II and IV
C. II only
D. IV only
33. Which of the following is not a type of operational risk as defined by Basel II?
A. Human error and internal fraud
B. Destruction by fire or other external catastrophes
C. Damaged reputation due to a failed merger
D. Failure or breakdown in internal control processes
34. Under the Internal Ratings Based approach of Basel II, inputs are set by the Basel Committee or the bank which has adopted that approach. Which of the following inputs is always set by the bank?
A. Asset correlation
B. Confidence level
C. Probabilities of default
D. Loss given default
35. Tim Brown and Steve Parker undertake trades that generate profits of USD 5 million and USD 6 million, respectively. Both trades have face amounts of USD 100 million. Brown trades mortgage-backed securities, with a volatility of 14 percent. Parker trades asset-backed securities, which have a volatility of 16 percent. Based on a 99 percent confidence level RAROC (risk-adjusted return on capital), whose investment is superior?
A. Brown
B. Parker
C. Same
D. Cannot be determined from the information given | 
发表于 2009-6-13 14:54
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