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56. Your bank is implementing the advanced Internal Rating Based Approach of Basel II for credit risk, and the Advanced Measurement Approach for operational risk. The bank uses the model approach for market risk. The Chief Risk Officer (CRO) wants to estimate the bank’s total risk by adding up the regulatory capital for market risk, credit risk, and operational risk. The CRO asks you to identify the problems with using this approach to estimate the bank’s total risk. Which of the following statements about this approach is incorrect?
a. It assumes market, credit, and operational risks have zero correlation.
b. It uses a 10-day horizon for market risk.
c. It ignores strategic risks.
d. It ignores the interest risk associated with the bank’s loans.
57. All the following are operational risk loss events, except:
a. An individual shows up at a branch presenting a check written by a customer for an amount substantially exceeding the customers low checking account balance. When the bank calls the customer to ask him for the funds, the phone is disconnected and the bank cannot recover the funds.
b. A bank, acting as a trustee for a loan pool, receives less than the projected funds due to delayed repayment of certain loans.
c. During an adverse market movement, the computer network system becomes overwhelmed, and only intermittent pricing information is available to the bank’s trading desk, leading to large losses as traders become unable to alter their hedges in response to falling prices.
d. A loan officer inaccurately enters client financial information into the bank’s proprietary credit risk model.
58. You have been asked to review a memo on how market liquidity is affected by shocks to the financial system. Which of the following observations made in the memo is incorrect?
a. in periods of acute market stress, market liquidity typically increases in the most liquid markets, creating a self-correcting loop that will ultimately remove downward pressure on asset prices.
b. Evaporation of market liquidity is an important factor in determining whether and at what speed financial disturbances become financial shocks with potentially systemic threats.
c. Market shocks may not be reflected in mark-to-market portfolio values immediately for portfolios with illiquid assets. As a result, it is possible for market shocks to have delayed effects on financial institutions.
d. The impact of a market shock on the liquidity of a specific asset depends on the characteristics of the investors who own the asset.
59. When calculating the capital requirement for credit risk pursuant to the IRB approach under Basel II, which of the following statements best describes the change in the risk weight (RW) when the probability of default changes from 1% to 99% while all other parameters remain unchanged?
a. RW value increases to a peak then decreases
b. RW value increases
c. RW value decreases to a bottom then increases
d. RW value decreases
60. The spread on a one-year BBB-rated bond relative to the risk-free treasury of similar maturity is 2%. It is estimated that the contribution to this spread by all noncredit factors (e.g., liquidity risk, taxes) is 0.8%. Assuming the loss given default rate for the underlying credit is 60%, what is, approximately, the implied default probability for this bond?
a. 3.33%
b. 5.00%
c. 3.00%
d. 2.00% | 
发表于 2009-3-31 14:34
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