Online Access Free 8008 Exam Questions

Which loss event type is the loss of personally identifiable client information classified as under the Basel II framework?

• A.Technology risk
• B.External fraud
• C.Information security
• D.Clients, products and business practices

Which of the following statements are true:
I. Heavy tailed parametric distributions are a good choice for severity modeling in operational risk.
II. Heavy tailed body-tail distributions are a good choice for severity modeling in operational risk.
III. Log-likelihood is a means to estimate parameters for a distribution.
IV. Body-tail distributions allow modeling small losses differently from large ones.

• A.II and III
• B.All of the above
• C.I and IV
• D.II, III and IV

For an option position with a delta of 0.3, calculate VaR if the VaR of the underlying is $100.

• A.130
• B.30
• C.100
• D.33.33

For a 10 year interest rate swap, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)

• A.7 years
• B.10 years
• C.2 years
• D.Right after inception

Which of the following is not a tool available to financial institutions for managing credit risk:

• A.Third party guarantees
• B.Collateral
• C.Cumulative accuracy plot
• D.Credit derivatives