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LOS b: Recommend and justify the risk exposures an analyst should report as part of an enterprise risk management system.
Q1. The LDC Bank specializes in foreign exchange transactions and lending to emerging market countries. They have provided a loan to the country of Tinia so that Tinia can install a water irrigation system in the interior of the country. The LDC Bank is very careful with their lending practices, calculating the probability of a country’s default through the use of simulation. They have also entered into a currency swap that allows them to receive Mexican pesos in exchange for paying U.S. dollars. Which of the following risk is NOT explicitly mentioned in these series of transactions by the LDC Bank?
A) Regulatory risk.
B) Herstatt risk.
C) Model risk.
Q2. When describing the risk exposures that an analyst should examine as part of an enterprise risk management system, what terms describe the risks pertaining to the factors that directly affect firm or portfolio values and the risks associated with external capital markets?
Firm/Portfolio Value External Capital Market
A) Market risk Financial risk
B) Market risk Factor risk
C) Systematic risk Financial risk
Q3. BigBank engages in foreign exchange transactions. They have just provided a forward contract to a major multinational corporation that allows the corporation to sell Swiss francs in 90 days. They have also entered into a currency swap that allows them to receive Japanese yen in exchange for paying U.S. dollars. Furthermore, they are in the process of selling a large position in Canadian dollars in the spot market. Which of the following risks is NOT explicitly mentioned in these series of transactions by BigBank?
A) Operations risk.
B) Herstatt risk.
C) Liquidity risk. | 
发表于 2009-4-7 09:23
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