Online Access Free ICBRR Exam Questions

A key function of treasuries in commercial/retail banks is:
I. To manage the interest margin of the banks.
II. To focus on underwriting risk.
III. To ensure strong earnings.
IV.
To increase profit margins.

• A.III, IV
• B.II, III
• C.II
• D.I

To estimate the responsiveness of a particular equity portfolio to the overall market, a trader should use the portfolio's

• A.Beta
• B.Alpha
• C.VaR
• D.CVaR

Returns on two assets show very strong positive linear relationship. Their correlation should be closest to which of the following choices?

• A.60%
• B.15%
• C.100%
• D.45%

James Johnson purchased a plain vanilla bond that has modified duration of 10 and convexity of 0.5. If yields increase by 1%, its modified duration is expected to

• A.decrease by 0.5.
• B.decrease by 1.5.
• C.increase by 1.5.
• D.increase by 0.5.

An asset manager for a large mutual fund is considering forward exchange positions traded in a clearinghouse system and needs to mitigate the risks created as a result of this operation. Which of the following risks will be created as a result of the forward exchange transaction?

• A.Credit risk
• B.Exchange rate and interest rate risk
• C.Exchange rate risk
• D.Exchange rate and credit risk