GARP ICBRR

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GARP International Certificate in Banking Risk and Regulation (ICBRR) 認定 ICBRR 試験問題:

1. Which one of the following four statements represents the advantages of the historical simulation method when calculating VaR?

A) Rely on current market data to describe the distribution of returns and determine volatilities.
B) Are only using loss probabilities that can be found in tables of the standard normal distribution.
C) Solve the problem caused by incorrectly assuming that asset returns are normally distributed.
D) Are believed to be superior in accuracy predicting future levels of realized volatility.

2. Which one of the following statements correctly identifies risks in foreign exchange forwards?

A) Short-term forward price fluctuations are driven by changes in the spot exchange rate, since most inter-country interest rates differentials are small, and the effect of compounding is small for short periods of time.
B) Long-term forward price fluctuations are driven by changes in the spot exchange rate, since most inter-country interest rates differentials are significant, and the effect of compounding is small for short periods of time.
C) Long-term forward price fluctuations are driven by changes in the spot exchange rate, since most inter-country interest rates differentials are small, and the effect of compounding is large for short periods of time.
D) Short-term forward price fluctuations are driven by changes in the spot exchange rate, since most inter-country interest rates differentials are significant, and the effect of compounding is large for short periods of time.

3. Which of the following statements about endogenous and external types of liquidity are accurate?
I. Endogenous liquidity is the liquidity inherent in the bank's assets themselves.
II. External liquidity is the liquidity provided by the bank's liquidity structure to fund its assets and maturing liabilities.
III. External liquidity is the non-contractual and contingent capital supplied by investors to support the bank in times of liquidity stress.
IV.
Endogenous liquidity is the same as funding liquidity.

A) I, II, IV
B) II, III
C) I, III
D) I, II

4. The data available to estimate the statistical distribution of bank losses is difficult to assemble for which of the following reasons?
I. The needed data is vast in quantity.
II. The data requires bringing together significantly different measures of risk.
III.
Some risks are difficult to quantify and hence the data might involve subjective elements.

A) II, III
B) I, III
C) I, II, III
D) I, II

5. Which of the following statements explain how securitization makes the retail assets highly liquid and the balance sheet easier to manage?
I. By securitizing assets any lack of capital can be accommodated by selling the securitized bonds.
II. Any need to diversify credit risk can be achieved by selling bank's own securitized bonds and buying other bonds that increase diversification.
III.
Securitization could be used to promote hedging by using limited market instruments.

A) II
B) II, III
C) I, II, III
D) I, II

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