nayizhenfeng

 

The correct answer is A

 

Both the IAA and the Supervisory Formula (SF) approaches can be used for unrated assets. The IAA is only used in limited situations, with specific permission from the regulatory authority. The IAA is based on systems used by external ratings agencies.

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3、The Standardized Approach to operational risk links a:

A) static proportion to a static risk indicator variable.

B) dynamic proportion to a static risk indicator variable.

C) static proportion to a dynamic risk indicator variable.  

D) dynamic proportion to a dynamic risk indicator variable.

nayizhenfeng

 

The correct answer is D

 

The Standardized Approach to operational risk allows banks to assign dynamic risk indicators across business lines and allows the proportions attached to each indicator variable to vary (be dynamic) across risk indicators.

nayizhenfeng

 

AIM 10: Compare and contrast Pykhtin, binomial expansion technique, Duellmann, Duellmann and Masschelein, and Garcia Cespedes et al. models to estimate capital.

1、Which sector concentration risk measurement model requires a complete structure of intra and inter sector correlation?

A) Duellman.  

B) Garcia Cespedes et al.

C) Pykhtin.  

D) Duellmann and Masschlein.

nayizhenfeng

 

The correct answer is C

 

Pykhtin requires a complete structure of intra and inter-sector correlations.

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2、Which of the following statements regarding models to estimate economic capital is (are) TRUE?

      I. Pykhtin and Garcia Cespedes et al. rely on average values of intra condition sector correlations.

     II. Garcia Cespedes et al. is a default mode model and ASRF IRB is a marked to market model.

    III. Duellmann is a multifactor model including three systematic risk measures.

    IV. The out of sample performance of the Garcia Cespedes et al. model is extremely good.

A) II and IV.  

B) I and IV. 

C) I, II, and III.  

D) III only.

nayizhenfeng

 

The correct answer is A

 

Duellmann and Garcia Cespedes et al. rely on average values of intra and inter sector correlations. Duellman is classified as a tractable closed form solution, not a multifactor solution.

nayizhenfeng

 

AIM 12: Discuss the Basel II Accord’s standardized and IRB treatments of asset securitization.

1、According to Basel II, if an internal ratings-based (IRB) bank retains a first-loss position in an asset securitization:

A) the bank must deduct this position from capital.   

B) an adjustment is made to the estimated loss given default.  

C) an adjustment is made to the estimated probability of default.

D) higher risk weights are applied.

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AIM 9: Explain the gap between real economic capital and ASRF performance.

1、Which of the following explain the gap between real economic capital and the estimation generated by ASRF IRB model?

      I. Inaccurate data.

     II. Business cycles.

    III. Correlation estimates.

    IV. Model structure.

A) I and III.  

B) II only. 

C) III and IV.  

D) IV only.

nayizhenfeng

 

The correct answer is C

 

The primary shortcomings of the ASRF IRB model are only one systematic risk factor and omission of inter- and intra-sector correlation.