質問 1：
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. I, II, III
B. I, III
C. II
D. II, III
正解：A
質問 2：
Bank Sigma takes a long position in the oil futures market that requires a 2% margin, i.e., the bank has to deposit 2% of the value of the contract with the broker. The futures contracts were priced at $50 per barrel (bbl) at inception, and rose by $5 to $55. The VaR on the position is estimated to be $10. What is the return on this transaction on a risk adjusted basis?
A. 50%
B. 500%
C. 10%
D. 20%
正解：A
質問 3：
Which of the following would a bank resort to as a "lender of last resort" in the event of an extreme liquidity crisis?
A. Futures Markets
B. U.S treasury markets
C. Discount window
D. LIBOR markets
正解：C
質問 4：
When considering the advantages of operational risk function owned by the Chief Compliance Officer in a financial institution, an operational risk manager consultant suggests that this governance approach will have all of the following advantages except:
A. In accordance with Basel II Accord, the operational risk function should report directly into the audit function and strengthen that function.
B. The operational risk function is closely linked in a partnership with the compliance function to leverage data and assessment activities.
C. The operational risk function quickly inherits an existing reporting structure, established meeting schedules and functional reporting cycles from the compliance function.
D. This governance structure maintains an independent operational risk function.
正解：A
質問 5：
Which one of the four following activities is NOT a component of the daily VaR computing process?
A. Updating factor interrelationships.
B. Computing portfolio risk by delta-normal or delta-gamma method.
C. Producing the VaR report.
D. Updating individual risk factor models.
正解：B
質問 6：
AlphaBank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a
A. 95% chance that AlphaBank will at least lose 30 million EUR.
B. 95% chance that AlphaBank can lose more than 30 million EUR.
C. 95% chance that AlphaBank will lose exactly 30 million EUR.
D. 95% chance that AlphaBank can lose at most 30 million EUR.
正解：D
質問 7：
In the United States, foreign exchange derivative transactions typically occur between
A. A few large internationally active banks, where the risks become concentrated.
B. Thrifts and large commercial banks, where the risks become isolated.
C. All banks with international branches, where the risks become widely distributed based on trading exposures.
D. Regional banks with international operations, where the risks depend on the specific derivative transactions.
正解：A
質問 8：
According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I. Debt type and seniority
II. Macroeconomic environment
III. Obligor asset type
IV.
Recourse
A. I, II
B. II
C. I
D. III, IV
正解：D
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. I, II, III
B. I, III
C. II
D. II, III
正解：A
質問 2：
Bank Sigma takes a long position in the oil futures market that requires a 2% margin, i.e., the bank has to deposit 2% of the value of the contract with the broker. The futures contracts were priced at $50 per barrel (bbl) at inception, and rose by $5 to $55. The VaR on the position is estimated to be $10. What is the return on this transaction on a risk adjusted basis?
A. 50%
B. 500%
C. 10%
D. 20%
正解：A
質問 3：
Which of the following would a bank resort to as a "lender of last resort" in the event of an extreme liquidity crisis?
A. Futures Markets
B. U.S treasury markets
C. Discount window
D. LIBOR markets
正解：C
質問 4：
When considering the advantages of operational risk function owned by the Chief Compliance Officer in a financial institution, an operational risk manager consultant suggests that this governance approach will have all of the following advantages except:
A. In accordance with Basel II Accord, the operational risk function should report directly into the audit function and strengthen that function.
B. The operational risk function is closely linked in a partnership with the compliance function to leverage data and assessment activities.
C. The operational risk function quickly inherits an existing reporting structure, established meeting schedules and functional reporting cycles from the compliance function.
D. This governance structure maintains an independent operational risk function.
正解：A
質問 5：
Which one of the four following activities is NOT a component of the daily VaR computing process?
A. Updating factor interrelationships.
B. Computing portfolio risk by delta-normal or delta-gamma method.
C. Producing the VaR report.
D. Updating individual risk factor models.
正解：B
質問 6：
AlphaBank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a
A. 95% chance that AlphaBank will at least lose 30 million EUR.
B. 95% chance that AlphaBank can lose more than 30 million EUR.
C. 95% chance that AlphaBank will lose exactly 30 million EUR.
D. 95% chance that AlphaBank can lose at most 30 million EUR.
正解：D
質問 7：
In the United States, foreign exchange derivative transactions typically occur between
A. A few large internationally active banks, where the risks become concentrated.
B. Thrifts and large commercial banks, where the risks become isolated.
C. All banks with international branches, where the risks become widely distributed based on trading exposures.
D. Regional banks with international operations, where the risks depend on the specific derivative transactions.
正解：A
質問 8：
According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I. Debt type and seniority
II. Macroeconomic environment
III. Obligor asset type
IV.
Recourse
A. I, II
B. II
C. I
D. III, IV
正解：D
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