Question 61
Credit exposure for derivatives is measured using
Question 62
Which of the following are considered asset based credit enhancements?
I. Collateral
II. Credit default swaps
III. Close out netting arrangements
IV. Cash reserves
I. Collateral
II. Credit default swaps
III. Close out netting arrangements
IV. Cash reserves
Question 63
Which of the following statements is true in relation to a normal mixture distribution:
I. Normal mixtures represent one possible solution to the problem of volatility clustering II. A normal mixture VaR will always be greater than that under the assumption of normally distributed returns III. Normal mixtures can be applied to situations where a number of different market scenarios with different probabilities can be expected
I. Normal mixtures represent one possible solution to the problem of volatility clustering II. A normal mixture VaR will always be greater than that under the assumption of normally distributed returns III. Normal mixtures can be applied to situations where a number of different market scenarios with different probabilities can be expected
Question 64
When building a operational loss distribution by combining a loss frequency distribution and a loss severity distribution, it is assumed that:
I. The severity of losses is conditional upon the number of loss events II. The frequency of losses is independent from the severity of the losses III. Both the frequency and severity of loss events are dependent upon the state of internal controls in the bank
I. The severity of losses is conditional upon the number of loss events II. The frequency of losses is independent from the severity of the losses III. Both the frequency and severity of loss events are dependent upon the state of internal controls in the bank
Question 65
Which of the following are valid approaches for extreme value analysis given a dataset:
I. The Block Maxima approach
II. Least squares approach
III. Maximum likelihood approach
IV. Peak-over-thresholds approach
I. The Block Maxima approach
II. Least squares approach
III. Maximum likelihood approach
IV. Peak-over-thresholds approach