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51. Which of the following outcomes is NOT associated with an operational risk process?
A. The sale of call options being booked as a purchase
B. A monthly volatility is inputted in a model that requires a daily volatility
C. A loss is incurred on an option portfolio because ex post volatility exceeded expected volatility
D. A volatility estimate is based on a time-series that includes a price that exceeds the other prices by a factor of 100
52. Which of the following CORRECTLY describe the similarities between Operational VAR and Market VAR?
I. Both VARs, when used for regulatory capital measurement, need to be validated against actual loss experience.
II. Both are built on data (market prices for Market VAR and operational loss data for Operational VAR) that is readily available
III. Both are modeled based on a normal distribution.
IV. Extreme Value Theory can be used to model extreme losses at the tail of the distribution for both Operational and Market VAR
A. I and IV
B. I, II and III
C. I, II and IV
D. II, III and IV
53. Which of the following measures is the most suitable for performance measurement of a derivatives trading business unit?
A. Internal rate of return
B. Return on asset
C. Sharpe ratio
D. Risk adjusted return on capital
54. Your Board of Directors wants a comprehensive review of each business units' operational risk activities. As the head of the corporate operational risk unit, you know that little has been done to implement an operational risk process at the business unit level and that you need to immediately come up with a framework. Which of the following statements offers the best strategy?
I. The audit committee of the Board should first define its objectives to ensure that all the firm's business units' operational risk programs are providing required information
II. The auditing department is to be charged with developing an operational risk program for each business unit, with the business unit being made clearly aware that they will be held accountable for its implementation
III. That your department immediately assess the operational risk for each business unit using independent data feeds to ensure the information fed into the assessment cannot be manipulated
IV. A senior manager from each profit center is to be charged with developing their own operational risk self assessment program based on guidelines you provide.
A. I only
B. I and IV only
C. I and III only
D. IV only
55. Which of the following risk management strategies of a firm which has principal payments to make on its debt in one year that substantially exceed the market value of its assets is most likely to be in the interest of the shareholders?
A. Reduction of the overall risk level of the firm
B. Increase of the overall risk level of the firm
C. Keep the same risk level
D. It is impossible to say which risk management strategy the shareholders prefer | 
发表于 2009-6-13 14:27
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