Vce 2016-FRR Questions Latest

Financial Risk and Regulation (FRR) Series Questions and Answers

Question 29

Which one of the four following statements about drawdowns is correct?

Options:

Drawdown calculates significant losses in a particular business or a book.

Drawdown estimates the effect on bank's liabilities when the bank's credit rating is cut.

Drawdown quantifies the peak-to-trough decline of an investment over a known time period.

Drawdown measures the aggregate decline in market values of assets and positions due to a shock.

Question 30

Bank Alpha is making a decision about lending 10-year loans in a sector that is fairly illiquid and is looking at various options to fund the loans. Which of the following options to fund the loans exhibits the most exogenous liquidity risk?

Options:

Overnight interbank markets

The 6-month LIBOR markets

The 1-year treasury markets

Foreign exchange markets

Question 31

Which of the following are among the main uses of risk reports?

I. Identification of exceptional situations that require managerial attention.

II. Display the relative risk among different trades.

III. Specify how RAROC will be maximized within the bank.

IV. Estimate the overall risk levels of the bank.

Options:

I, II and IV

II and III

II and IV

II, III, and IV

Question 32

To reduce the variability of net interest income, Gamma Bank can swap positions that make its duration gap equal to

Options:

-1

0.5

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Financial Risk and Regulation (FRR) Series Questions and Answers

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