[2008]Topic 57: LDA at Work相关习题 operation, structure, business, material, capital

nayizhenfeng

AIM 2: Outline the structure of the loss distribution approach discussed in the material.

1、The structure of the loss distribution approach (LDA) would assess capital requirements in cells resulting from grouping the data in a business line/event type matrix. The overall operation risk capital requirement for the firm:

A) would add the capital requirements from all the cells assuming the losses in the cells are uncorrelated.
 
B) would add the capital requirements from all the cells assuming the losses in the cells are perfectly correlated.
 
C) would combine the results in each of the cell in such a way that takes into account the fact that the losses would not be perfectly correlated yet correlated to some extent.
 
D) would take a geometric mean of the capital requirements multiplied by the number of cells.

kntz0432

大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855大学英语四级成绩单办理Q4438.10855 

jianning

谢谢楼主细心搜集资料

Jarvia

谢谢

nayizhenfeng

The correct answer is D

The Basel II Accord allows several approaches to the quantification of operation risk, and many see the loss distribution approach (LDA) as the natural way to meet the soundness standards for economic and regulatory capital by explicitly modeling the operation risk loss distribution of the bank over a one-year period.

nayizhenfeng

4、All of the following are acceptable methods for benchmarking operational risk EXCEPT:

A) comparing the advanced measurement approach (AMA) capital charge against the basic indicator approach (BIA) or the standardized approach (SA) capital charges.
 
B) comparing the operational risk capital charge against the LDA Association Capital Index (LDAACI).
 
C) comparing the LDA model outputs against adverse extreme, but realistic, scenarios.
 
D) comparing the operational risk capital charge against the institution’s peers.

nayizhenfeng

The correct answer is B

The LDAACI is a fictitious term.

nayizhenfeng

5、With respect to quantifying operation risk under the Basel II Accord, the loss distribution approach (LDA):

A) is currently disallowed, but its use is under review.
 
B) is the only recommended approach.
 
C) has been permanently disallowed.
 
D) is one of many possible approaches.

nayizhenfeng

2、The validation of an operational risk model involves which of the following?

A review of data inputs, model methodology, and model outputs.
An examination of the assumed frequencies, severities, and dependence structure.
An examination of the role of insurance.
An examination of the assumptions in the model such as correlations.
A) II, III, and IV only.
 
B) I, II, and IV only.
 
C) II and IV only.
 
D) I, II, III, and IV.

nayizhenfeng

The correct answer is D

The validation of an operational risk model involves a review of data inputs, model methodology, and model outputs. The review of the model would include examining the assumed frequencies, severities, dependence structure and insurance as well as assumptions in the model such as correlations. The validation would include an assessment of the impact of different modeling assumptions and the sensitivity of capital requirements to parameter changes.