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Complete 2016-FRR GARP Materials

Page: 10 / 28
Total 387 questions

Financial Risk and Regulation (FRR) Series Questions and Answers

Question 37

A credit portfolio manager analyzes a large retail credit portfolio. Which of the following factors will represent typical disadvantages of market-linked credit risk drivers?

I. Need to supply a large number of input parameters to the model

II. Slow computation speed due to higher simulation complexity

III. Non-linear nature of the model applicable to a specific type of credit portfolios

IV. Need to estimate a large number of unknown variable and use approximations

Options:

A.

I

B.

I, II

C.

II, III

D.

III, IV

Question 38

Most loans and deposits in the interbank market have a maturity of:

Options:

A.

More than 10 years

B.

More than 5 years but less than 10 years

C.

More than 3 years but less than 5 years

D.

Less than one year

Question 39

The potential failure of a manufacturer to honor a warranty might be called ____, whereas the potential failure of a borrower to fulfill its payment requirements, which include both the repayment of the amount borrowed, the principal and the contractual interest payments, would be called ___.

Options:

A.

Credit risk; market risk

B.

Market risk; credit risk

C.

Credit risk; performance risk

D.

Performance risk; credit risk

Question 40

Which of the following risk types are historically associated with credit derivatives?

I. Documentation risk

II. Definition of credit events

III. Occurrence of credit events

IV. Enterprise risk

Options:

A.

I, IV

B.

I, II

C.

I, II, III

D.

II, III, IV

Page: 10 / 28
Total 387 questions