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質問 # 70
According to the Basel II framework, subordinated term debt that was originally issued 4 years ago with amaturity of 6 years is considered a part of:
- A. Tier 1 capital
- B. Tier 2 capital
- C. Tier 3 capital
- D. None of the above
正解：B
解説：
Explanation
According to the Basel II framework, Tier 1 capital, also called core capital or basic equity, includes equity capital and disclosed reserves.
Tier 2 capital, also called supplementary capital, includes undisclosed reserves, revaluation reserves, general provisions/general loan-loss reserves, hybrid debt capital instruments and subordinated term debt issued originally for 5 years or longer.
Tier 3 capital, or short term subordinated debt, is intended only to cover market risk but only at the discretion of their national authority. This only includes short term subordinated debt originally issued for 2 or more years.
An interesting thing to note is the difference between 'subordinated term debt' under Tier 2 and the 'short term subordinated debt' under Tier 3. The distinction is based upon the years to maturity at the time the debt was issued. The remaining time to maturity is not relevant. For the subordinated term debt included under Tier 2, the amount that can be counted towards capital is reduced by 20% for every year when the debt is due within 5 years. This takes care of the time to maturity problem for Tier 2subordinated debt. For Tier 3 short term subordinated debt, this is not an issue because debt will only qualify for Tier 3 if it has a lock-in clause stipulating that the debt is not required to be repaid if the effect of such repayment is to take the bank below minimum capital requirements.
質問 # 71
Under the KMV Moody's approach to calculating expectingdefault frequencies (EDF), firms' default on obligations is likely when:
- A. asset values reach a level between short term debt and total liabilities
- B. asset values reach a level below short term debt
- C. asset values reach a level below totalliabilities
- D. expected asset values one year hence are below total liabilities
正解：A
解説：
Explanation
An observed fact that the KMV approach relies upon is that firms do not default when their liabilities exceed assets, but when asset values are somewhere between short term liabilities and the total liabilities. In fact, the
'default point' in the KMV methodology is defined as the short term debt plus half of the long term debt. The difference between expected value of the assets in one year and this 'default point', when expressed in terms of standard deviation of the asset values, is called the 'distance-to-default'.
Therefore Choice 'd' is the correct answer. The other choices are incorrect.
質問 # 72
Which of the following represents a riskier exposure for a bank: A LIBOR based loan, or an Overnight Indexed Swap? Which of the two rates is expected to be higher?
Assume the same counterparty and the same notional.
- A. A LIBOR based loan; OIS rate will be higher
- B. Overnight Index Swap; LIBOR rate will be higher
- C. Overnight Index Swap; OIS rate will be higher
- D. A LIBOR based loan; LIBOR rate will be higher
正解：D
解説：
Explanation
A LIBOR based loan requires cash to move from the lenderto the borrower in the amount of the notional. The Overnight Index Swap requires only the exchange of interest payments, and therefore represents less risk.
Therefore the LIBOR based loan is a riskier exposure.
The LIBOR is generally higher than the OIS. In fact, the difference between the two, the LIBOR-OIS spread, is a standard measure of the risk premium in the market that goes up when the risk of default by counterparty banks is considered high. This is because when the market perceives the risk of default to be high, the participants need a risk premium to take on the default risk which is considerably lesser with the OIS.
質問 # 73
Which of the following does not affect the credit risk facing a lender institution?
- A. The degree of geographical or sectoral concentration in the loan book
- B. The applicability or otherwise of mark tomarket accounting to the institution
- C. Credit ratings of individual borrowers
- D. The state of the economy
正解：B
解説：
Explanation
The state of the economy, credit quality of individual borrowers and concentration risk are all factors that affect the credit risk facing a lender. Mark to market accounting does not change the credit risk, or the underlying economic reality facing the institution. Therefore Choice 'b' is the correct answer.
質問 # 74
Under the KMV Moody's approach to credit risk measurement, which of the following expressions describes the expected 'default point' value of assets at which the firm may be expected to default?
- A. Short term debt + 0.5* Long term debt
- B. 2* Short term debt + Long term debt
- C. Long term debt + 0.5* Short term debt
- D. Short term debt+ Long term debt
正解：A
解説：
Explanation
A situation where a firm has more liabilities than assets does not necessarily implydefault, so long as the firm is able to pay its obligations when they come due. Therefore, short term debts have a greater bearing on a firm's default than longer term debt. However, this is not to say that merely having enough to pay off the short term debts (ie debts due within one year) is enough to avoid default. Over time, the long term debt will also be turning to short term debt, and it may not be possible for the firm to roll over its liabilities without lenders considering the long term debt. The KMV approach considers the entire short term debt and half of the long term debt as the critical value of assets below which default will be triggered. Therefore Choice 'c' is the correct answer.
質問 # 75
Which of the following is not a permitted approach under Basel II for calculating operational riskcapital
- A. the advanced measurement approach
- B. the basic indicator approach
- C. the standardized approach
- D. the internal measurement approach
正解：D
解説：
Explanation
The Basel II framework allows the use of the basic indicator approach, thestandardized approach and the advanced measurement approaches for operational risk. There is no approach called the 'internal measurement approach' permitted for operational risk. Choice 'a' is therefore the correct answer.
質問 # 76
Which of the following is the best description of the spread premium puzzle:
- A. The spread premium puzzle refers to observed default rates being much less than implied default rates, leading to lower credit bonds being relatively cheap when compared to their actual default probabilities
- B. The spread premium puzzle refers to AAA corporate bonds being priced at almost the same prices as equivalent treasury bonds without offering the same liquidity or guarantee as treasury bonds
- C. The spread premium puzzle refers to dollar denominated non-US sovereign bonds being priced a at significant discount to other similar USD denominated assets
- D. The spread premium puzzle refers to the moral hazard implicit in the monoline insurance market
正解：A
解説：
Explanation
Choice 'a' is the correct answer. The other choices represent non-sensical statements.
質問 # 77
Aderivative contract has a negative current replacement value. Which of the following statements is true about its loan equivalent value for credit risk calculations over a 2-year horizon?
- A. The current exposure can be used for loan equivalence calculations as that is an unbiased proxy for the future value.
- B. Since the derivatives contract has a negative current replacementvalue, exposure will be zero.
- C. The credit exposure will be a given quintile of the expected distribution of the value of the derivatives contract in the future.
- D. The notional value of the derivatives contract should be used for loan equivalence calculations.
正解：C
解説：
Explanation
The current exposure is negative, so there is no immediate credit exposure. However, since the price ofthe derivative is volatile, we can reasonably expect the value to be greater than zero sometime in the future. This is a stochastic variable which will have a distribution, and not just a unique value, in the future that will represent the credit exposure.Since there is no unique value, a conservative approach is to pick a quintile of the distribution, and use that as the future value of the derivative contract, with the assurance that the probability of the credit exposure exceeding that quintile is knownand has been consciously selected. This number can then be converted to a loan equivalent amount for credit risk purposes. Therefore Choice 'b' is the correct answer. Choice 'a', Choice 'd' and Choice 'c' are incorrect for these reasons.
質問 # 78
Which of the following statements are true ?
I.Risk governance structures distribute rights and responsibilities among stakeholders in the corporation II. Cybernetics is the multidisciplinary study of cyber risk and control systems underlying information systems in an organization III. Corporate governance is a subset of the larger subject of risk governance IV. The Cadbury report was issued in the early 90s and was one of the early frameworks for corporate governance
- A. All of the above
- B. II and III
- C. I and IV
- D. I, II and IV
正解：C
解説：
Explanation
Governance structures specify the policies, principles and procedures for making decisions about corporate direction. They distribute rights and responsibiliies among stakeholders that typically include executive management, employees, the board etc. Statement I is therefore correct.
"Cybernetics is a transdisciplinary approach for exploring regulatory systems, their structures, constraints, and possibilities. In the 21st century, the term is often used in a rather loose way to imply "controlof any system using technology" (Wikipedia). Governance literature has been affected by cybernetics, which is not the same thing as information security or cyber security. Statement II is incorrect.
Corporate governance includes risk governance, and not the other way round. Therefore statement III is incorrect.
The Cadbury Report, titled Financial Aspects of Corporate Governance, was a report issued in the UK in December 1992 by "The Committee on the Financial Aspects of Corporate Governance". The report is eponymous with the chair of the committee, and set out recommendations on the arrangement of company boards and accounting systems to mitigate corporate governance risks and failures. Statement IV is therefore correct.
質問 # 79
Which of the following describes rating transition matrices published by credit rating firms:
- A. Probabilities of default for each credit rating class
- B. Expected ex-ante frequencies of migration from one credit rating to another over a one year period
- C. Realized frequencies of migration from one credit rating toanother over a one year period
- D. Probabilities of ratings transition from one rating to another for a given set of issuers
正解：C
解説：
Explanation
Transition matrices are used for building distributions of the value of credit portfolios, and are the realized frequencies of migration from one credit rating to another over a period, generally one year. Therefore Choice
'd' is the correct answer.
Since they represent an actually observed set of values, they are not probabilities nor are they forward looking ex-ante estimates, though they are often used as proxies for probabilities. Choice 'a' and Choice 'c' are not correct. They include more than information on just defaults, therefore Choice 'b' is not correct.
質問 # 80
There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that exactly 1 of the three bonds will default.
- A. 0%
- B. 2%
- C. .011%
- D. 5.8%
正解：D
解説：
Explanation
The probability that only one of thethree bonds will default is equal to the sum of the probabilities of the three scenarios where one bond defaults and the other two survive. This probability is given by 1%*(1 - 2%)*(1 -
3%) + (1 - 1%)*2%*(1 - 3%) + (1 - 1%)*(1 - 2%)*3% = 5.7818%. Choice 'c' is the correct answer.
質問 # 81
Which of the following objectives are targeted by rating agencies when assigning ratings:
I. Ratings accuracy
II. Ratings stability
III. High accuracy ratio (AR)
IV. Ranked ratings
- A. II and III
- B. III and IV
- C. I and II
- D. I, II and III
正解：C
解説：
Explanation
Rating agencies target both accuracy and stability when they assign ratings. These two objectives can sometimes conflict, so a balance needs to be struck between the two. Rating agencies do not target anyparticular 'accuracy ratio' or rankings. Therefore Choice 'c' is the correct answer.
質問 # 82
Economic capital under the Earnings Volatility approach is calculated as:
- A. Expected earnings/Required rate of return for the firm
- B. [Expected earningsless Earnings under the worst case scenario at a given confidence level]/Required rate of return for the firm
- C. Expected earnings/Specific risk premium for the firm
- D. Earnings under the worst case scenario at a given confidence level/Required rate of return for the firm
正解：B
解説：
Explanation
The Earnings Volatility approach to calculating economic capital is a top down approach that considers economic capital as being the capital required to make for the worst case fall in earnings, and calculates EC as equal to the worst case decrease in earnings capitalized at the rate of return expected of the firm. The worst case decrease in earnings, or the earnings-at-risk can only be stated at a given confidence level, and is equal to the Expected Earnings less Earnings under the worst case scenario.
質問 # 83
Which of the following statements are true in relation to Monte Carlo based VaR calculations:
I. Monte Carlo VaR relies upon a full revalution of theportfolio for each simulation II. Monte Carlo VaR relies upon the delta or delta-gamma approximation for valuation III. Monte Carlo VaR can capture a wide range of distributional assumptions for asset returns IV. Monte Carlo VaR is less compute intensive than Historical VaR
- A. All of the above
- B. I and III
- C. II and IV
- D. I, III and IV
正解：B
解説：
Explanation
Monte Carlo VaR computations generally include the following steps:
1. Generate multivariate normal random numbers, based upon thecorrelation matrix of the risk factors
2. Based upon these correlated random numbers, calculate the new level of the risk factor (eg, an index value, or interest rate)
3. Use the new level of the risk factor to revalue each of the underlying assets, and calculate the difference from the initial valuation of the portfolio. This is the portfolio P&L.
4. Use the portfolio P&L to estimate the desired percentile (eg, 99th percentile) to get and estimate of the VaR.
Monte Carlo based VaR calculations rely upon full portfolio revaluations, as opposed to delta/delta-gamma approximations. As a result, they are also computationally more intensive. Because they are not limited by the range of instruments and the properties they can cover, they can capture a wide rangeof distributional assumptions for asset returns. They also tend to provide more robust estimates for the tail, including portions of the tail that lie beyond the VaR cutoff.
Therefore I and III are true, and the other two are not.
質問 # 84
Which of the following statements is true
I. If no loss data is available, good quality scenarios can be used to model operational risk II. Scenario data can be mixed with observed loss data for modeling severity and frequency estimates III. Severity estimates should not be created by fitting models to scenario generated loss data points alone IV. Scenario assessments should only be used as modifiers to ILD or ELD severity models.
- A. All statements are true
- B. III and IV
- C. I and II
- D. I
正解：C
解説：
Explanation
There are multiple ways to incorporate scenario analysis for modeling operational risk capital - and the exact approach used depends upon thequantity of loss data available, and the quality of scenario assessments.
Generally:
- If there is no past loss data available, scenarios are the only practical means to model operational risk loss distributions. Both frequency and severity estimates can be modeled based on scenario data.
- If there is plenty of past data available, scenarios can be used as a modifier for estimates that are based solely on data (for example, consider the MAX of the loss estimates at the desired quantile as provided bythe data, and as indicated by scenarios)
- If high quality scenario data is available, and there is sufficient past data, one could mix scenario assessments with the loss data and fit the combined data set to create the loss distribution. Alternatively, both could be fitted with severity estimates and then the two severities could be parametrically combined.
In short, there is considerable flexibility in how scenarios can be used.
Statement I is therefore correct, and so is statement II as both indicate valid uses of scenarios.
Statement III is not correct because it may be okay to create severity estimates based on scenario data alone.
Statement IV is not correct because while using scenarios as modifiers to other means of estimation is acceptable, that isnot the only use of scenarios.
質問 # 85
A loan portfolio's full notional value is $100, and its value in a worst case scenario at the 99% level of confidence is $65. Expected losses on the portfolio are estimated at 10%. What is the level of economic capital required to cushion unexpected losses?
- A. 0
- B. 1
- C. 2
- D. 3
正解：C
解説：
Explanation
Expected value = $90 ($100 - 10%)
Value at 99% confidence level = $65
Therefore economic capital required at this level of confidence = $90 - $65 = $25.
Choice 'a' is the correct answer, the other choices are not.
(We can also look at it this way as explained in section III.B.6.2.2 of the handbook: Economic capital is designed to absorb unexpected losses, which areequal to total losses at a given confidence level minus expected losses. (Expected losses are to be covered by credit reserves). Total losses are $100-$65=$35, and expected losses are 10%*$100=$10, therefore economic capital should be $35-$10=$25.)
質問 # 86
In estimating credit exposure for a line of credit, it is usual to consider:
- A. the full value of the credit line to be the exposure at default as the borrower has an informational advantage that will lead them to borrow fully against the credit line at the time of default.
- B. a fixed fraction of the line of credit to be the exposure at default even though the currently drawn amount is quite different from such a fraction.
- C. only the value of credit exposure currently existing against the credit line as the exposure at default.
- D. the present value of the line of credit at the agreed rate of lending.
正解：B
解説：
Explanation
Choice'a' is the correct answer. Exposures such as those to a line of credit of which only a part (or none) may be drawn at the time of assessment present a difficulty when attempting to quantify credit risk. It is not correct to take the entire amount of the line as the exposure at default, and likewise the current exposure is likely to be too aggressively low a number to consider.
While the borrower has an information advantage in that he would be aware of the deterioration in credit standing before the bank and would probably draw cash prior to default, it is unlikely that the entire amount of the line of credit would be drawn in all cases. In some cases, none may be drawn. In other cases, the bank would become aware of the situation and curtail or cancel access to the credit line in a timely fashion.
Therefore a fixed proportion of existing credit lines is considered a reasonable approximation of the exposure at default against credit lines.
質問 # 87
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A. CreditPortfolio View
- B. The actuarial approach
- C. The CreditMetrics approach
- D. The contingent claims approach
正解：B
解説：
Explanation
The correct answer is Choice 'd'. The following is a brief description of the major approaches available to model credit risk, and the analysis that underlies them:
1. CreditMetrics: based on the credit migration framework. Considers the probability of migration to other credit ratings and the impact of such migrations on portfolio value.
2. CreditPortfolio View: similar toCreditMetrics, but adds the impact of the business cycle to the evaluation.
3. The contingent claims approach: uses option theory by considering a debt as a put option on the assets of the firm.
4. KMV's EDF (expected default frequency) based approach: relies on EDFs and distance to default as a measure of credit risk.
5. CreditRisk+: Also called the 'actuarial approach', considers default as a binary event that either happens or does not happen. This approach does not consider the loss of value from deterioration in credit quality (unless the deterioration implies default).
質問 # 88
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