1. Suppose you are given the following information about the operational risk losses at your bank.

Frequency distribution
 Severity Distribution
 
Probability
 Frequency
 robability
 Severity
 
0.5
 0
 0.6
 USD 1,000
 
0.3
 1
 0.3
 USD 10,000
 
0.2
 2
 0.1
 USD 100,1000
 

What is the estimate of the VaR at the 95% confidence level, assuming that the frequency and severity distributions are independent?

a.USD 100,000

b.USD 101,000

c.USD 200,000

d.USD 110,000

12. A risk manager estimates daily variance( )using a GARCH model on daily returns( ):

Assume the model parameter values are =0.005, =0.04, =0.94. The long-run annualized volatility is approximately

a.13.54%

b.7.94%

c.72.72%

d.25.00%

13.   In pricing a first-to-default credit basket swap, which of the following is true, all else being equal?

a.The lower the correlation between the assets of the basket, the lower the premium.

b.The lower the correlation between the assets of the basket, the higher the premium.

c.The higher the correlation between the assets of the basket, the higher the premium.

d.The correlation between the assets has no impact on the premium of a first-to default credit basket swap.

14.To control risk-taking by traders, your bank links trader compensation with their compliance with imposed VaR limits on their trading book. Why should your bank be careful in tying compensation to the VaR of each trader?

It encourages trader to select positions with high estimated risks, which leads to an underestimation of the VaR limits.
It encourages trader to select positions with high estimated risks, which leads to an overestimation of the VaR limits.
It encourages trader to select positions with low estimated risks, which leads to an underestimation of the VaR limits.
It encourages trader to select positions with low estimated risks, which leads to an overestimation of the VaR limits.
 
15.Bank Z, a medium-size bank, uses only operational loss data from internal records to model its loss distribution from operational risk events. The bank reviewed its records, and, after confirming that they were complete records of its historical losses and that its losses could be approximated by a uniform distribution, it decided against using external loss data to estimate its loss distribution. Based on that decision, which of the following statements is correct?

The estimated loss distribution likely accurately represents Bank Z’s real risk because the records are accurate and complete.
The estimated loss distribution likely overtakes bank Z’s real risk because many incidences in the past were likely “one off.”
The estimated loss distribution likely is the best estimate of Bank Z’s real risk because there is no better loss data for the bank than its own.
The estimated loss distribution likely understates Bank Z’s real risk because the bank has not experienced a huge loss.

[此贴子已经被作者于2009-3-31 14:20:46编辑过]