Which of the following correctly identifies reasons for collecting internal operational risk event and loss
information?
I. Assessing the risk of specific areas of concern.
II. Evaluating risk events and outcomes.
III. Collecting data for capital modeling.
IV. Getting insight into risk events in other firms in the industry.

Which of the following statements defines Value-at-risk (VaR)?

Banks duration match their assets and liabilities to manage their interest risk in their banking book. A bank has
$100 million in interest rate sensitive assets and $100 million in interest rate sensitive liabilities. Currently the
bank's assets have a duration of 5 and its liabilities have a duration of 2. The asset-liability management
committee of the bank is in the process of duration-matching. Which of the following actions would best
match the durations?

An asset manager just bought a coupon paying bond with principal value $100,000 for $87,000 with a current
yield of 4.7%. He assumes that if the yields change to 5.7% the price of the bond would be $84,500. Based on
this assumption what is the modified duration of the bond?

US based Alpha Bank holds European corporate bonds and US inflation-indexed Treasury notes in its
investment portfolio. This investment portfolio is not exposed to changes in which of the following?