8008 試験問題を無料オンラインアクセス

Which of the following statements are true:
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%

• A.I, III and IV
• B.I and III
• C.I
• D.III

The 10-day VaR of a diversified portfolio is $100m. What is the 20-day VaR of the same portfolio assuming the market shows a trend and the autocorrelation between consecutive periods is 0.2?

• A.200
• B.154.92
• C.100
• D.141.42

The capital adequacy ratio applied to risk weighted assets for the calculation of capital requirements for credit risk per Basel II is:

• A.100%
• B.12.5%
• C.150%
• D.8%

According to the Basel II framework, subordinated term debt that was originally issued 4 years ago with a maturity of 6 years is considered a part of:

• A.None of the above
• B.Tier 3 capital
• C.Tier 1 capital
• D.Tier 2 capital

A Monte Carlo simulation based VaR can be effectively used in which of the following cases:

• A.When returns data cannot be analytically modeled
• B.All of the above
• C.D
• D.When returns are discontinuous or display large jumps
• E.Where analytical methods are too complex to effectively use