Free Access GARP.2016-FRR.v2022-08-09.q102 Practice Test (Page 22)

Question 101

Which one of the following four formulas correctly identifies the expected loss for all credit instruments?

A.Expected Loss = Probability of Default x Loss Given Default + Exposure at Default

B.Expected Loss = Probability of Default x Loss Given Default x Exposure at Default

C.Expected Loss = Probability of Default x Loss Given Default / Exposure at Default

D.Expected Loss = Probability of Default x Loss Given Default - Exposure at Default

Question 102

A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this
portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this
purpose?

A.Modified duration

B.Duration of default

C.Effective duration

D.Macaulay duration

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Question 101

Question 102

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