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| Section | Objectives |
|---|---|
| Topic 1: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 2: CVA and DVA | - Measurement and interpretation - Valuation adjustments |
| Topic 3: Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| Topic 4: Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Topic 5: Classic Credit Risk | - Credit products and lifecycle
|
| Topic 6: Counterparty Risk | - Mitigation techniques (netting, collateral) - Definition and sources of counterparty risk |
| Topic 7: Credit Portfolio Management | - Risk concentration and diversification - Portfolio credit risk measurement |
A bank expects the error rate in transaction data entry for a particular business process to be 0.005%. What is the range of expected errors in a day within +/- 2 standard deviations if there are 2,000,000 such transactions each day?
Correct Answer: B 🗳️
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Which of the following statements is true?
I. Real Time Gross Systems (RTGS) for large value payments consume less system liquidity than Deferred Net Systems (DNS) II. The US Fedwire is an example of a Real Time Gross System III. Current disclosure requirements in relation to liquidity risk as laid down in the Basel framework require banks to disclose how liquidity stress scenarios were formulated IV. A CFP (Contingency Funding Plan) provides access to Central Bank financing
Correct Answer: D 🗳️
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Which loss event type is the failure to timely deliver collateral classified as under the Basel II framework?
Correct Answer: C 🗳️
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If the odds of default are 1:5, what is the probability of default?
Correct Answer: A 🗳️
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Stress testing is useful for which of the following purposes:
I). For providing the risk manager with an intuitive check on his risk estimates
II). Providing a means of communicating risk implications using plausible scenarios that can be easily explained to a non-technical audience
III). Guarding against major errors in the form of model risk
IV). Complying with the requirements of Basel II.
Correct Answer: A 🗳️
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