SOLVED CAIIB COMBINED PAPER 33:
1. 1 day VaR of a portfolio is Rs.500,000 with 95% confidence level. In a period of six months (125 working days) how many times the loss on the portfolio may exceed Rs.500,000 ?
a. 4 days
b. 5 days
c. 6 days
d. 7 days
Ans - c
2. Falling interest rates cause NAVs of debt mutual fund to go down.
a. False
b. True
c. Difficult to say
d. I do not know
Ans - a
3. Capital charge for credit risk requires input for PD, LGD, EAD and M. Under advanced IRB approach, who provide the input for LGD.
a. Bank
b. Supervisor
c. Function provided by BCBS
d. None of the above
Ans - a
4. A fall in interest rates reduces the demand for bonds in the secondary market
a. False
b. True
c. Difficult to say
d. Demand is unaffected
Ans - b
5. Tier III capital will be limited to ......% of bank’s Tier –I Capital.
a. 200
b. 250
c. 300
d. 350
Ans - b
6. Risk of Reduction in Mark-to-Market value of equities is ......
a. Interest Rate Risk
b. Market Risk
c. Credit Risk
d. Operational Risk
Ans - b
7. 11% Government of India security is quoted at Rs. 110, the yield will be ......
a. 11%
b. 10%
c. 9%
d. None of these
Ans - b
8. Systemic risk is the risk due to
a. Failure of a bank, which is not adhering to regulations
b. Failure of two banks simultaneously due to bankruptcy of one bank
c. Where a group of banks fail due to contagion effect
d. Failure of entire banking system
Ans - d
9. Back testing is done to
a. Test a model
b. Compare model results and actual performance
c. Record performance
d. None of the above
Ans - b
10. A transaction where financial securities are issued against the cash flow generated from a pool of assets is called ......
a. Securitization
b. Credit Default Swaps
c. Credit Linked Notes
d. Total Return Swaps
Ans - a
11. Operational Risk does not arise from
a. Inadequate or failed internal processes
b. People and systems
c. External Events
d. Defaults by own customers
Ans - d
12. 12% Government of India security is quoted at Rs.120. If interest rates go down by 1%, the market price of the security will be.....
a. Rs. 120
b. Rs. 133.3
c. Rs. 109
d. Rs. 140
Ans - b
a. 4 days
b. 5 days
c. 6 days
d. 7 days
Ans - c
2. Falling interest rates cause NAVs of debt mutual fund to go down.
a. False
b. True
c. Difficult to say
d. I do not know
Ans - a
3. Capital charge for credit risk requires input for PD, LGD, EAD and M. Under advanced IRB approach, who provide the input for LGD.
a. Bank
b. Supervisor
c. Function provided by BCBS
d. None of the above
Ans - a
4. A fall in interest rates reduces the demand for bonds in the secondary market
a. False
b. True
c. Difficult to say
d. Demand is unaffected
Ans - b
5. Tier III capital will be limited to ......% of bank’s Tier –I Capital.
a. 200
b. 250
c. 300
d. 350
Ans - b
6. Risk of Reduction in Mark-to-Market value of equities is ......
a. Interest Rate Risk
b. Market Risk
c. Credit Risk
d. Operational Risk
Ans - b
7. 11% Government of India security is quoted at Rs. 110, the yield will be ......
a. 11%
b. 10%
c. 9%
d. None of these
Ans - b
8. Systemic risk is the risk due to
a. Failure of a bank, which is not adhering to regulations
b. Failure of two banks simultaneously due to bankruptcy of one bank
c. Where a group of banks fail due to contagion effect
d. Failure of entire banking system
Ans - d
9. Back testing is done to
a. Test a model
b. Compare model results and actual performance
c. Record performance
d. None of the above
Ans - b
10. A transaction where financial securities are issued against the cash flow generated from a pool of assets is called ......
a. Securitization
b. Credit Default Swaps
c. Credit Linked Notes
d. Total Return Swaps
Ans - a
11. Operational Risk does not arise from
a. Inadequate or failed internal processes
b. People and systems
c. External Events
d. Defaults by own customers
Ans - d
12. 12% Government of India security is quoted at Rs.120. If interest rates go down by 1%, the market price of the security will be.....
a. Rs. 120
b. Rs. 133.3
c. Rs. 109
d. Rs. 140
Ans - b