Question 56
The Basel II Accord's operational risk definition excludes all of the following items EXCEPT:
Question 57
What do option deltas measure?
Question 58
In analyzing market option pricing dynamics, a risk manager evaluates option value changes throughout the
entire trading day. Which of the following factors would most likely affect foreign exchange option values?
I. Change in the value of the underlying
II. Change in the perception of future volatility
III. Change in interest rates
IV. Passage of time
entire trading day. Which of the following factors would most likely affect foreign exchange option values?
I. Change in the value of the underlying
II. Change in the perception of future volatility
III. Change in interest rates
IV. Passage of time
Question 59
From the bank's point of view, repricing the retail debt portfolio will introduce risks of fluctuations in:
I. Duration
II. Loss given default
III. Interest rates
IV. Bank spreads
I. Duration
II. Loss given default
III. Interest rates
IV. Bank spreads
Question 60
Which of the following attributes are typical for early models of statistical credit analysis?