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| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Risk Management Frameworks | 20% | - Risk Measurement Methodologies - Regulatory Frameworks & Basel Accords - Risk Governance & Culture - Enterprise Risk Management Principles |
| Topic 2: ALM & FTP | 10% | - Liquidity Risk Management - Asset-Liability Management Principles - Interest Rate Risk in the Banking Book - Funds Transfer Pricing Methodology & Application |
| Topic 3: Counterparty Risk | 15% | - Potential Future Exposure - Netting, Collateral & Margining - Credit Value Adjustment (CVA) & Wrong-way Risk - Counterparty Credit Risk Fundamentals |
| Topic 4: Market Risk | 15% | - Regulatory Capital for Market Risk - Market Risk Factors & Drivers - Interest Rate, Equity, FX & Commodity Risk - Value-at-Risk (VaR) & Stress Testing |
| Topic 5: Operational Risk | 20% | - Control & Mitigation Techniques - Definition & Scope - Risk Identification & Assessment - Capital Requirements & Advanced Measurement Approaches |
| Topic 6: Credit Risk | 20% | - Exposure & Probability of Default - Credit Risk Concepts - Loss Given Default & Credit Valuation Adjustment - Credit Risk Modeling & Capital Calculation |
If the duration of a bond yielding 10% is 6 years, the volatility of the underlying interest rates 5% per annum, what is the 10-day VaR at 99% confidence of a bond position comprising just this bond with a value of $10m?
Assume there are 250 days in a year.
Correct Answer: B 🗳️
Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution for operational risk?
Correct Answer: D 🗳️
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Which of the following correctly describes survivorship bias:
Correct Answer: A 🗳️
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A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?
Correct Answer: D 🗳️
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There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?
Correct Answer: A 🗳️
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