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問題 #1

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

A. II and III
B. III
C. I, II and III
D. I and II

問題 #2

Which of the following statements are true:
I. Liquidity risks during time of crisis may be exacerbated by large collateral calls continuing over a period of time.
II. Stress tests are always separately modeled from VaR computations which cannot deal with stress scenarios of the kind considered in stress tests.
III. A maximum loss scenario considers the maximum possible loss given a 'plausibility constraint' that is based upon the joint probability of such a loss happening

A. II and III
B. I and III
C. I, II and III
D. I and II

問題 #3

Which of the following belong in a credit risk report?

A. Exposures by industry
B. Exposures by country
C. Largest exposures by counterparty
D. All of the above

問題 #4

Which of the following is not an example of a risk concentration?

A. Location of a portfolio's assets in a single country but spread across different industries
B. Large combined positions in assets affected by different risk factors that are highly correlated
C. Material amounts of treasury obligations held as collateral provided by a single counterparty
D. Origination of a large number of SIVs with exposures to the same asset class, where the SIVs are separate legal entities without recourse to the originator

問題 #5

Which of the following statements are true:
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%

A. I, III and IV
B. III
C. I and III
D. I

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