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Complete 2016-FRR GARP Materials

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Total 342 questions
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Financial Risk and Regulation (FRR) Series Questions and Answers

Question 37

In its VaR calculations, JPMorgan Chase uses an expected tail-loss methodology which approximates losses at the 99% confidence level. This methodology consists of two subsequent steps to estimate the VaR. Which of the following explains this two-step methodology?

Options:

A.

After VaR is computed at the 97% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 99% confidence level.

B.

After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 98% confidence level.

C.

After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 99% confidence level.

D.

After VaR is computed at the 1% confidence level, the expected tail loss in excess of that confidence level is determined, which and is then compared with the VaR estimate at the 98% confidence level.

Question 38

Returns on two assets show very strong positive linear relationship. Their correlation should be closest to which of the following choices?

Options:

A.

15%

B.

45%

C.

60%

D.

100%

Question 39

A risk analyst is considering how to reduce the bank's exposure to rising interest rates. Which of the following strategies will help her achieve this objective?

I. Reducing the average repricing time of its loans

II. Increasing the average repricing time of its deposits

III. Entering into interest rate swaps

IV. Improving earnings capacity and increasing intermediated funds

Options:

A.

I, II

B.

III

C.

IV

D.

I, II, IV

Question 40

Which one of the following four statements about market risk is correct? Market risk is

Options:

A.

The exposure to an adverse change in the credit quality in portfolios or of financial instruments.

B.

The maximum likely loss in the market value of portfolios and financial instruments over a given period of time.

C.

The maximum likely loss in the market value of portfolios and financial instruments caused by the failure of the counterparty to meet its obligations.

D.

The exposure to an adverse change in the market value of portfolios and financial instruments caused by a change in market prices or rates.

Page: 10 / 25
Total 342 questions
Get 2016-FRR Full Access Download 2016-FRR PDF