[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.

kntz0432

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nd1636

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jianning

学习来了

Jarvia

谢谢

nayizhenfeng

2、Which of the following are limitations to operational risk hedging?

Identifying operational risks is a highly subjective process.
Distributions of loss frequency and loss severity are unavailable.
Risk correlations are difficult to forecast around extreme events.
A) I only.
 
B) I and II only.
 
C) II and III only.
 
D) I and III only.

nayizhenfeng

 The correct answer is D

Identifying and measuring operational risk is highly subjective. Correlations are not necessarily stationary, especially during extreme events.

nayizhenfeng

AIM 6: Discuss limitations to operational risk hedging.

 

1、In general, operational risk management:

A) is objective.
 
B) can accurately incorporate correlations among risk events. 
 
C) is challenged by the need to identify operational risks. 
 
D) benefits from many databases with strong predictive value. 
 

nayizhenfeng

 The correct answer is C

Operational risk management is challenged by its generally subjective nature. Even identifying the potential risk events and the correlations among these risks requires subjective analysis, thereby compromising the accuracy of the analysis. Part of the reason for the high degree of subjectivity is the lack of generally available data that can be used to confidently project future risks.