[2008]Topic 56: Extending the VAR Approach to Operational Risk相关习题 related, contrast, business

nayizhenfeng

 

AIM 1: Compare and contrast top-down and bottom-up approaches to measuring operational risk.

 

1、From an operational risk perspective, the risks that are unlikely to jeopardize the future of the firm are:

A) low-frequency, high-severity risks.

B) risks related to business practices.

C) high-frequency, low-severity risks.

D) risks related to internal fraud.

nayizhenfeng

 

The correct answer is C

 

Due to their predictable nature and small size, the risks that are unlikely to jeopardize the future of the firm are high-frequency, low-severity events. Note that risks related to fraud and business practices tend to create the largest unexpected losses and can therefore jeopardize the firm.

nayizhenfeng

 

2、The difference between bottom-up methods for measuring operational risk and top-down methods for measuring operational risk is that bottom-up methods focus on:

A) quantitative rather than qualitative measures of risk.

B) loss causes rather than just loss indicators.

C) loss indicators rather than just loss causes.

D) qualitative rather than quantitative measures of risk.

nayizhenfeng

 

The correct answer is B

 

The bottom-up difference is that the focus is on loss causes rather than just loss indicators. Bottom-up operational risk measures may be either quantitative or qualitative.

nayizhenfeng

 

3、Which of the following approaches to operational risk management can differentiate between high-frequency, low-severity (HFLS) and low-frequency, high-severity (LFHS) events?

A) Top-down approach.

B) Both the top-down approach and bottom-up approach.

C) Bottom-up approach.

D) Neither the top-down approach nor the bottom-up approach.

nayizhenfeng

 

The correct answer is C

 

The bottom-up approach analyzes risk in individual processes, which can distinguish between HFLS and LFHS events. The top-down approach to operational risk measurement examines the aggregate impact of internal operational failures by estimating the variance of economic variables that is left unexplained by external macroeconomic factors and does not distinguish between HFLS and LFHS events.

nayizhenfeng

 

4、The operational risks that will tend to have low expected losses but relatively high unexpected losses are:

A) low-frequency, low-severity risks.

B) low-frequency, high-severity risks.

C) high-frequency, low-severity risks.

D) high-frequency, high-severity risks.

nayizhenfeng

 

The correct answer is B

 

Lack of adequate internal data makes the losses associated with low-frequency, high-severity risks the least predictable of operational risks.

nayizhenfeng

 

5、The process of measuring operational risk may categorize potential losses into groups in terms of:

A) size and frequency.

B) size and style.

C) frequency and style.

D) probability and frequency.

nayizhenfeng

 

The correct answer is A

 

The first step in measuring operational risk is to categorize potential losses into groups in terms of size and frequency.