Answer all parts from Question 10 to 26 :

10. Assume since the gliding installment has recently been reset. The adjustment in the estimation of the trade if rates go somewhere near 0.58% is

(a) a gain of about $4.3m

(b) a loss of about $4.3m

(c) a gain of about $3.7m

(d) a loss of about $3.7m

11. Consider a long situation in one European call alternative on a resource worth $100. The alternative is at-the-cash, with a delta of 0.50 and a gamma of 0.04. The basic resource unpredictability is 3% throughout the following month. The 99% month to month VAR is, utilizing the delta guess:

(a) $7.0

(b) $3.5

(c) $3.0

(d) $0.3

12. Continuing the past inquiry, the 99% month to month VAR is, utilizing the delta-gamma guess: (a) $1.0

(b) $2.5

(c) $3.5

(d) $4.5

13. For which of the accompanying designs is a high certainty level fitting?

(a) for backtesting purposes

(b) as a benchmark proportion of disadvantage hazard for exchanging work areas

(c) for capital ampleness purposes

(d) none of the abovementioned

14. For which of the accompanying designs is quite a while skyline fitting when registering the VAR?

(a) for arrangement of subsidiaries with delta changing rapidly

(b) in request to give a more exact estimation of the VAR

(c) for capital ampleness purposes

(d) for backtesting purposes

15. Which strategy would be best fitting for estimating the danger of an arrangement of fascinating choices:

(a) Delta-ordinary

(b) Delta-gamma-delta

(c) Delta-gamma Monte Carlo

(d) Full Monte Carlo

16. The Basel Committee on Banking Supervision requires business banks to convey enough money to cover (accepting zero explicit charge):

(a) The least of the earlier day's VaR and the normal of the most recent multi day VaRs duplicated by factor k

(b) The limit of the earlier day's VaR and the normal of the last 60 VaRs duplicated by k

(c) The earlier day's VaR or the normal of the last 60 VaRs, whichever is higher

(d) The limit of the normal of the last 60 VaRs and the most recent day's VaR duplicated by a factor k

17. The 95%, 1-day RiskMetrics VAR for a bank exchanging portfolio is $1,000,000. What is the rough broad market hazard charge, as characterized in 1996?

(a) $3,000,000

(b) $9,500,000

(c) $4,200,000

(d) $13,400,000 2010-12.8

18. Which of coming up next is valid about pressure testing?

(a) It is utilized to assess the possible effect on portfolio estimations of far-fetched, albeit conceivable, occasions or developments in a bunch of monetary factors.

(b) It is a danger the board apparatus that straightforwardly analyzes anticipated outcomes to noticed real outcomes. Anticipated qualities are additionally contrasted and recorded information.

(c) Both a) and b) above are valid.

(d) None of the above are true. FRM2006-87

19. A annuity store has a portfolio with $1 billion put each in US stocks and Japanese stocks. The 99% 1-week VAR investigation uncovers a VAR of $112 million. The danger supervisor, nonetheless, is worried about outrageous moves not reflected in VAR. She builds:

A univariate situation where US stocks fall by 20%

A univariate situation where Japanese stocks fall by 25%

A imminent situation where US stocks fall by 20% and Japanese stocks by 15%

A imminent situation where US stocks fall by 5% and Japanese stocks by 25%

The imminent situations are similarly likely. The most sensible pressure misfortune gauge to stress over is:

(a) $200 million

(b) $250 million

(c) $300 million

(d) $350 million.

20. John Flag, the chief of a $150 million upset bond portfolio, conducts pressure tests on the portfolio. The portfolio's annualized return is 12%, with an annualized return instability of 25%. Over the most recent two years, the portfolio experienced a few days when the every day esteem change of the portfolio was in excess of 3 standard deviations. On the off chance that the portfolio would endure a 4-sigma day by day occasion, gauge the adjustment in the estimation of this portfolio.

(a) $9.48 million

(b) $23.70 million

(c) $37.50 million

(d) $150 million FRM

2008-2-18

21. Risk chiefs can show time variety in danger utilizing MA, EWMA or GARCH models. By and large

(a) these models are not valuable since instability is consistent over the long haul

(b) Moving Average (MA) models are better than others

(c) EWMA and GARCH gauges fit the information rather well

(d) EWMA model gauges are totally different from those from GARCH models

22. Consider reenactments from a typical (0,) model where the instability is known. Characterize s as the assessed unpredictability from K reenactments.

(a) Simulations can be utilized to quantify unpredictability without testing blunder

(b) The quantile gauge from is less exact than that from the example quantile

(c) Increasing K by a factor of 10 will build exactness of s by a factor of 10

(d) Increasing K by a factor of 100 will expand exactness by 10

Credit Risk

23. Your bank makes a $100m advance to an AAA-evaluated organization. The loan cost (net of expected default misfortunes) is 6%. The bank's financing cost is 5.65%. The bank is dependent upon the current Basel capital prerequisite. In view of this data, the re-visitation of value capital would be:

(a) 10%

(b) 8%

(c) 6% (d) 5.65%

24. A bank puts resources into a 1-year advance with a CCC credits. The default likelihood is 24.27%. Accept the recuperation rate is 40%, and the danger free 1-year spot rate is 6%, utilizing yearly accumulating (focus on building). The base yield spread ought to be

(a) 10%

(b) 15%

(c) 24%

(d) 40%

25. Define PD as the (normal) likelihood of default and LGD as the misfortune given default. Take EAD, openness at default, as fixed and overlook it. At a portfolio level, expected credit misfortunes are driven by:

(a) PD as it were

(b) expected LGD as it were

(c) PD and expected LGD as it were

(d) neither of the abovementioned

26. Continuing, at a portfolio level, surprising credit misfortunes are driven by:

(a) PD as it were

(b) the dispersion of LGD

(c) PD, LGD, connections across defaults

(d) PD, LGD, relationships across defaults and LGD