Q-bank part 2, ORM and ERM

zeeshanrashid
Posts: 1
Joined: Mon Feb 24, 2014 6:37 am

Q-bank part 2 ORM and ERM

Postby zeeshanrashid » Mon Feb 24, 2014 6:40 am

Quiz 2:ORM

Banks have to meet a number of qualitative criteria before they are permitted to use a models-based approach. The qualitative criteria include:
Choose one answer.
Select one:
a. The bank should have an independent risk control unit that is responsible for the design and implementation of the bank's risk management system. The unit should conduct a regular back testing program.
b. Board of directors and senior management should be actively involved in the risk control process. The bank's internal risk measurement model must be closely integrated into the day-to-day risk management process of the bank.
c. A and B together Incorrect Thats what I chose!!!!, but the it was marked as incorrect
d. A and B, except that the risk measurement system does not have to be used in conjunction with exposure limits.
Feedback
The correct answer is C. A and B together. All of the requirements from A and B are necessary.
The correct answer is: Board of directors and senior management should be actively involved in the risk control process. The bank's internal risk measurement model must be closely integrated into the day-to-day risk management process of the bank..


Under the new Accord, credit risk charges may be calculated using the Internal Ratings Based Approach...( WHICH IRB???), which of the following is the best description of this approach?
Choose one answer.
Select one:
a. Banks estimate default probabilities of counterparties using their own methods subject to regulatory standards, which then are used with modified standardized inputs that come from the standardized approach
b. Banks use their own models to generate their own credit risk calculation using their own proprietary methods, which are not divulged to third parties Incorrect
c. Banks use the ratings of credit rating agencies to calculate loss given default
d. Banks hire their own ratings analysts who supply data to the firm's trading teams so that they can better judge value in their trading


The capital charge for market risk for banks subject to the market risk rule is:
Choose one answer.
Select one:
a. Three times the calculated VaR
b. The average VaR over the last 50 days
c. he higher of the previous day's VaR, or 3 times the average calculated VaR over the past 60 business days. Incorrect
d. A minimum multiplicative factor of 3 times the higher of the previous day's VaR the average VaR over the last 60 business days.
Feedback


IS THIS CORRECT???
The correct answer is D. A minimum multiplicative factor of 3 times the higher of the previous day's VaR the average VaR over the last 60 business days. Under the current Basel guidelines.
The correct answer is: A minimum multiplicative factor of 3 times the higher of the previous day's VaR the average VaR over the last 60 business days..

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

Q-bank part 2 ORM and ERM

Postby edupristine » Tue Jul 08, 2014 7:57 am

Hi,
Banks have to meet a number of qualitative criteria before they are permitted to use a models-based approach. The qualitative criteria include:
Correct Answer is © ie both (a) and (b) together. If this is marked as incorrect. It is wrong.

Under the new Accord, credit risk charges may be calculated using the Internal Ratings Based Approach...( WHICH IRB???), which of the following is the best description of this approach?
Correct Answer option (a)

The capital charge for market risk for banks subject to the market risk rule is:
Correct answer (c).


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