［2008］Topic 58: Operational VAR: A Closed-Form Approximation相关习题 computing, standards, important, because, require

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AIM 1: Describe the loss distribution approach, its components, and its estimation.

1、The mass of the tail of a distribution is key when computing VaR. When estimating the operational VaR, one only needs to focus on the right tail. This concept is important because:

Basel II standards require VaR calculations based exclusively on the tail of the severity distribution.
for high confidence intervals it suggests that operational risk is dependent upon only the tail of the severity distribution.
because frequency is only input as an expectation, it is not essential to calibrate a particular counting process.
symmetry of the distributions.
A) II and III only.
 
B) I, II, and III only.
 
C) II only.
 
D) IV only.

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The correct answer is A

For high confidence intervals it suggests that operational risk is dependent upon only the tail of the severity distribution. Frequency is only input as an expectation, it is not essential to calibrate a particular counting process.

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2、Which of the following statements is (are) TRUE regarding the loss distribution approach (LDA)?

It is the most popular way to satisfy the AMA standards.
It is commonly used by endowments and foundations.
It requires an estimate of the probability distribution function.
It cannot be used if the frequency process is Poisson.
A) II and IV only.
 
B) I only.
 
C) I and III only.
 
D) None of these.

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The correct answer is B

Statement I is correct. LDA is the most common way to satisfy AMA standards.

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3、The most popular method to be in compliance and satisfy the AMA standards is:

A) Value at Risk.
 
B) loss distribution approach.
 
C) basic risk estimation.
 
D) total risk method.

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The correct answer is B

Loss Distribution Approach (LDA) is the most popular method.

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4、In practice the most versatile approach for operational risk quantification is:

A) basic indicator approach.
 
B) standardized approach.
 
C) advanced measurement approach.
 
D) limited distribution approach.
 

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The correct answer is C

Advanced measurement approach offers the greatest flexibility.

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5、In the LDA process, the severity process describes:

A) the term of the operational loss.
 
B) the distribution of the operational loss.
 
C) the size of the operational loss.
 
D) the number of losses that occur.

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The correct answer is C

The severity process describes the magnitude, or size, of the loss.