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Free 2016-FRR GARP Updates

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Total 387 questions

Financial Risk and Regulation (FRR) Series Questions and Answers

Question 77

For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:

Options:

A.

There is a 5% chance that the bank would lose less than USD 10 million in a year.

B.

There is a 5% chance that the bank would lose more than USD 10 million in a year.

C.

There is a 5% chance that the worst loss would be USD 10 million in a year.

D.

There is a 5% chance that the least loss would be USD 10 million in a year.

Question 78

According to Basel II what constitutes Tier 2 capital?

Options:

A.

Debt that is not subordinated to equity and innovative capital products that would count as Tier 1 capital and excluding perpetual non-cumulative preference shares.

B.

Debt that is subordinate to equity.

C.

Equity capital and debt together.

D.

Core capital excluding undisclosed reserves and general reserves that the bank may make against its expected loan losses.

Question 79

Normally, commercial banking can be viewed as a fixed income carry trade since

Options:

A.

Short-term floating-rate deposits are used to fund long-term fixed rate loans.

B.

Short-term fixed rate deposits are used to fund long-term floating rate loans.

C.

Short-term fixed-rate deposits are used to fund short-term floating rate loans.

D.

Short-term floating-rate deposits are used to fund short-term floating rate loans.

Question 80

For two variables, which of the following is equal to the average product of the deviations from their respective means?

Options:

A.

Standard deviation

B.

Kurtosis

C.

Correlation

D.

Covariance

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Total 387 questions