2016-FRR Exam Question 56
Which of the following assets on the bank's balance sheet has greatest endogenous liquidity risk?
2016-FRR Exam Question 57
Which of the following statements represents a methodological difference between variance-covariance and
full revaluation methods?
full revaluation methods?
2016-FRR Exam Question 58
According to the largest global poll of foreign exchange market participants, which one of the following four
global financial institutions was the most active participant in the global foreign exchange market?
global financial institutions was the most active participant in the global foreign exchange market?
2016-FRR Exam Question 59
A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian
dollars and sell Brazilian reals. Alpha bank does not hold reals so it asks for a quote to buy Brazilian reals in
the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer and sells the reals at
this quoted price. Then the bank immediately buys the real at the market rate and completes foreign exchange
matched transaction. What is the financial impact of this transaction for Alpha bank?
dollars and sell Brazilian reals. Alpha bank does not hold reals so it asks for a quote to buy Brazilian reals in
the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer and sells the reals at
this quoted price. Then the bank immediately buys the real at the market rate and completes foreign exchange
matched transaction. What is the financial impact of this transaction for Alpha bank?
2016-FRR Exam Question 60
A risk manager analyzes a long position with a USD 10 million value. To hedge the portfolio, it seeks to use
options that decrease JPY 0.50 in value for every JPY 1 increase in the long position. At first approximation,
what is the overall exposure to USD depreciation?
options that decrease JPY 0.50 in value for every JPY 1 increase in the long position. At first approximation,
what is the overall exposure to USD depreciation?
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