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| Section | Objectives |
|---|---|
| Funds Transfer Pricing (FTP) | - Internal pricing of funds and liquidity allocation - FTP methodologies |
| Market Risk | - Market risk measurement techniques
|
| Counterparty Risk | - Netting and collateral management - Counterparty credit exposure - Derivatives credit risk considerations |
| Credit Risk | - Credit portfolio risk - Credit risk measurement and modeling
|
| Operational Risk | - Operational risk management techniques
|
| Risk Management Frameworks | - Enterprise risk management principles
|
| Asset-Liability Management (ALM) | - Interest rate risk in the banking book (IRRBB) - Liquidity risk management |
The Options Theoretic approach to calculating economic capital considers the value of capital as being equivalent to a call option with a strike price equal to:
Correct Answer: B 🗳️
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The principle underlying the contingent claims approach to measuring credit risk equates the cost of eliminating credit risk for a firm to be equal to:
Correct Answer: D 🗳️
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If the 99% VaR of a portfolio is $82,000, what is the value of a single standard deviation move in the portfolio?
Correct Answer: B 🗳️
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Which of the following correctly describes a reverse stress test:
Correct Answer: B 🗳️
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The probability of default of a security over a 1 year period is 3%. What is the probability that it would not have defaulted at the end of four years from now?
Correct Answer: C 🗳️
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