[ 2009 FRM Sample Exam ] Operational and Integrated risk management Q18

Abey

 

18. The statistical measurement of the operational VaR is generated through the aggregation of the following general variables:

A. Insurance and severity

B. Brownian motion and frequency

C. Poisson and severity

D. Severity and frequency

裙角飞扬

呵呵，谢谢

fenghai

顶一个

Abey

 

Correct answer is Dfficeffice" />

A is incorrect.  Insurance is used to by entities to hedge catastrophic risk.

B is incorrect.  Brownian motion is a distribution used to model stock prices.

C is incorrect.  The Poisson distribution is one of the distributions used to measure the frequency of the loss.

D is correct.  Operational risk is the risk of loss caused by failure in operational process or systems that support them.  Operational risk events can be divided into high frequency/low severity events and low frequency/high severity events.  Operational risk measurement models most incorporate both types of risk events.