ICBRR 試験問題を無料オンラインアクセス

Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following features EXCEPT:

• A.Exposures can often be netted
• B.Collateral arrangements are typically static in nature
• C.Exposure at default may be negatively correlated to the probability of default
• D.Counterparty risk creates a two-way credit exposure

A risk manager is analyzing a call option on the GBP with a vega of 0.02. When the perceived future volatility increases by 1%, the call option

• A.Increases in value by 2.
• B.Decreases in value by 2.
• C.Decreases in value by 0.02.
• D.Increases in value by 0.02.

Bank customers traditionally trade commodity futures with banks in order to achieve which of the following goals?
I. To express their own price views
II. To reverse undesired short-term exposure created from fixed commodity sales
III.
To reach short-term budgetary targets

• A.I, II, III
• B.I, III
• C.II
• D.I

James Arthur is a customer of a bank who has taken a floating rate loan from the bank. He
is concerned that the rates may rise in the future increasing his payment amount. Which of the following instruments should he buy to hedge against the rise in interest rates?

• A.Interest rate swap that receives fixed and pays floating
• B.Index amortizing swap
• C.Interest rate cap
• D.Interest rate floor

An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.

• A.Sometimes, unlimited
• B.Never, limited
• C.Never, unlimited
• D.Sometimes, limited