최신GARP International Certificate in Banking Risk and Regulation (ICBRR) - ICBRR무료샘플문제
문제1
To quantify the aggregate average loss for the credit portfolio and its possible constituent subportfolios, a credit portfolio manager should use the following metric:
To quantify the aggregate average loss for the credit portfolio and its possible constituent subportfolios, a credit portfolio manager should use the following metric:
정답: C
문제2
Which one of the following four exercise features is typical for the most exchange-traded equity options?
Which one of the following four exercise features is typical for the most exchange-traded equity options?
정답: D
문제3
Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan is collateralized with $55,000. The loan also has an annual expected defaultrate of 2%, and loss given default at 50%. In this case, what will the bank's exposure at default (EAD) be?
Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan is collateralized with $55,000. The loan also has an annual expected defaultrate of 2%, and loss given default at 50%. In this case, what will the bank's exposure at default (EAD) be?
정답: A
문제4
Which of the following statements is a key difference between customer loans and interbank loans?
Which of the following statements is a key difference between customer loans and interbank loans?
정답: A
문제5
A large multinational bank is concerned that their duration measures may not be accurate since the yield curve shifts are not parallel. Which of the following statements would be typically observed regarding variability of interest rates?
A large multinational bank is concerned that their duration measures may not be accurate since the yield curve shifts are not parallel. Which of the following statements would be typically observed regarding variability of interest rates?
정답: B
문제6
AlphaBank estimates that the annualized standard deviation of its portfolio returns equal 30%; The daily volatility of the portfolio is closest to which of the following?
AlphaBank estimates that the annualized standard deviation of its portfolio returns equal 30%; The daily volatility of the portfolio is closest to which of the following?
정답: A
문제7
A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models. Which of the following variables would most likely serve as an input in these models?
I. Implicit parameter estimate based on observed market prices
II. Estimates of sensitivity of option prices to parameter changes
III.
Theoretical option determination based on assumptions
A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models. Which of the following variables would most likely serve as an input in these models?
I. Implicit parameter estimate based on observed market prices
II. Estimates of sensitivity of option prices to parameter changes
III.
Theoretical option determination based on assumptions
정답: C
문제8
GammaBank estimates its monthly portfolio volatility at 5%.The portfolio's annual volatility is closest to which of the following?
GammaBank estimates its monthly portfolio volatility at 5%.The portfolio's annual volatility is closest to which of the following?
정답: C
문제9
Which of the following statements about a bank's behavior regarding Risk Adjusted Return on Capital (RAROC) is correct?
I. A bank should always seek to maximize their overall RAROC.
II. A bank should consider investing in a business even with negative RAROC if it increases the RAROC of the bank as a whole.
III. A bank should minimize its overall RAROC by controlling the absolute and relative amount of risk of its businesses.
IV.
A bank should maximize its RAROC by always investing in a new business that maximizes the RAROC for that business unit.
Which of the following statements about a bank's behavior regarding Risk Adjusted Return on Capital (RAROC) is correct?
I. A bank should always seek to maximize their overall RAROC.
II. A bank should consider investing in a business even with negative RAROC if it increases the RAROC of the bank as a whole.
III. A bank should minimize its overall RAROC by controlling the absolute and relative amount of risk of its businesses.
IV.
A bank should maximize its RAROC by always investing in a new business that maximizes the RAROC for that business unit.
정답: B
문제10
The pricing of credit default swaps is a function of all of the following EXCEPT:
The pricing of credit default swaps is a function of all of the following EXCEPT:
정답: C
문제11
Which one of the following four statements about economic capital of a bank is correct?
Which one of the following four statements about economic capital of a bank is correct?
정답: B
문제12
A bank considers issuing new capital to increase its Tier 1 capital levels. Which of the following financial instruments would most likely to be considered?
A bank considers issuing new capital to increase its Tier 1 capital levels. Which of the following financial instruments would most likely to be considered?
정답: C
문제13
An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.
An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.
정답: D
문제14
Which one of the following four models is typically used to grade the obligations of small-and medium-size enterprises?
Which one of the following four models is typically used to grade the obligations of small-and medium-size enterprises?
정답: C
문제15
On January 1, 2010 the TED (treasury-euro dollar) spread was 0.4%, and on January 31, 2010 the TED spread is 0.9%. As a risk manager, how would you interpret this change?
On January 1, 2010 the TED (treasury-euro dollar) spread was 0.4%, and on January 31, 2010 the TED spread is 0.9%. As a risk manager, how would you interpret this change?
정답: B