GARP Financial Risk and Regulation (FRR) Series - 2016-FRR FREE EXAM DUMPS QUESTIONS & ANSWERS

Which of the following statements about the interest rates and option prices is correct?

BetaFin has decided to use the hybrid RCSA approach because it believes that it fits its operational framework. Which of the following could be reasons to use the hybrid RCSA method?
I. BetaFin has previously created series of RCSA workshops, and the results of these workshops can be used to design the questionnaires.
II. BetaFin believes that using the questionnaire approach should be more useful.
III. BetaFin had used the questionnaire approach successfully for certain businesses and the workshop approach for others.
IV. BetaFin had already implemented a sophisticated RCSA IT-system.

Mega Bank holds a $250 million mortgage loan portfolio, which reprices every 5 years at LIBOR + 10%. The bank also has $150 million in deposits that reprices every month at LIBOR + 3%. What is the amount of Mega Bank's rate sensitive liabilities?

Which of the following factors are typically included in standard operational risk definitions?
I. Human errors
II. Process failure
III. Systems failure
IV. Unexpected events

A trader for EtaBank wants to take a leveraged position in Collateralized Debt Obligations. These CDOs can be used in a repurchase transaction at a 20% haircut. Starting with $100 worth of CDOs, which one of the following four positions would completely utilize the available leverage?

Gamma Bank is active in loan underwriting and securitization business, and given its collective credit exposure, it will be typically most interested in the following types of portfolio credit risk:
I). Expected loss
II). Duration
III). Unexpected loss
IV). Factor sensitivities

The probability of default on a bond is 3%, and in the case of default, investors expect to lose 70% of their investment. The bond's risk premium is 1.9%. The expected loss and the credit spread of the bond are, respectively:

What do option deltas measure?

BetaFin, a financial services firm, does not have retail branches, but has fixed income, equity, and asset management divisions. Which one of the four following risk and control self-assessment (RCSA) methods fits the firm's operational risk framework the best?

Which one of the following four statements describes the advantage of using delta-gamma method of mapping options positions over delta-normal method?
Delta-gamma method

In the United States, foreign exchange derivative transactions typically occur between

Which of the following statements about parametric and nonparametric methods for calculating Value-at-risk is correct?

Under Basel III, the Comprehensive Risk Measure is an incremental charge for what kind of trading portfolio?

Which one of the following four examples would not be considered a typical source of market risk?