Online Access Free 8011 Exam Questions

When compared to a high severity low frequency risk, the operational risk capital requirement for a low severity high frequency risk is likely to be:

• A.Higher
• B.Lower
• C.Unaffected by differences in frequency or severity
• D.Zero

A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?

• A.The bullet bond
• B.Indeterminate with the given information
• C.They would have identical exposure half way through their lives
• D.The amortizing loan

Which of the following distribution assumptions will produce the lowest probability of exceeding an extreme value, assuming identical means and variances?

• A.t-distribution
• B.a normal mixture distribution
• C.a normal distribution
• D.a distribution with kurtosis = 5

Under the KMV Moody's approach to credit risk measurement, how is the distance to default converted to expected default frequencies?

• A.Using a proprietary database based on historical information
• B.Using migration matrices
• C.Using Monte Carlo simulations
• D.Using a normal distribution

Which of the following methods cannot be used to calculate Liquidity at Risk?

• A.Historical simulation
• B.Analytical or parametric approaches
• C.Monte Carlo simulation
• D.Scenario analysis