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

nayizhenfeng

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.

uj3818

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Jarvia

谢谢

nayizhenfeng

The correct answer is B

Time tends to magnify operational risk. Operational risk grows with time. As time increases operational risk increases exponentially.

 

nayizhenfeng

The correct answer is D

In the case of a Pareto LDA model a nth root of time rule is obtained for OpVar measures.

nayizhenfeng

4、In the case of OpVAR, the Pareto LDA approach implies that:

A) OpVAR is independent of time.
 
B) OpVAR increases constantly in time.
 
C) OpVAR increases exponentially in time.
 
D) OpVAR increases linearly in time.

nayizhenfeng

The correct answer is C

The Pareto LDA approach implies that OpVar increases very rapidly, or exponentially, with time.

nayizhenfeng

5、In the case of the Pareto-LDA model, typical values for α imply that the threat of losses due to operational risk increases very quickly, notably faster than the result of the square-root-rule. This result suggests?

A) Operational risk increases linearly with time.
 
B) Operational risk increases exponentially with time.
 
C) Operational risk is greatest at time, t = 0.
 
D) Operational risk is independent of time.

nayizhenfeng

The correct answer is C

As time increases operational risk increases.