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onBankPQRtoamanufacturer.BankHJKandBankPQRoperateinseveralofthesamebusinessesandgeographiesandtheirpe1rformancesarehighlycorrelated.Manyinthemarketareconcernedthatrisinginten?stratescouldnegativelyimpactthecreditqualityofBankHJK'snumerousborrowers,whichinturnwouldincreasethecreditspreadofBankHJK.Fromthesofthehedgefundandthemanufacturer,whichofthefollowingiscorrectwithrnspecttotheircounterpartyriskexposuretoBankHJK?Hedge Right-way Wrong-wayWrongway RightwayRightway RightwayWrong-way Wrong-wayAspartofvalidatingtheVaRmodelused:tabank,theriskmanagementteamyzesprevious1-day95%and1-day99%VaRe中mates.Overthepast1,000days,therewere11exceptionsofthe1day99%VaRand33exceptionsofthe1day95%VaRmeasures.Whatcanmostaccuraybesaidabouttlhemodelateachoftheconfidencelevels?Theteststatisticforbacktestingthe95%VaRmodeloverthe1,000-dayperiodisapproximay0.3178.Theteststatisticforbacktestingthe99%VaRmodeloverthe1,000dayperiodisapproximay0.3178.Rejectthehypothesisthatthe95%VaRmodelisapproximaycalibratedata99%confidencelevel.Rejectthehypothesisthatthe99%VaRmodelisapproximaycalibratedata99%confidencelevel.TheriskandauditcommitteeoftheboardofXYZBankhashiredanoutsideconsultanttoreviewoperationsatthefirmSeveralyearsago,XYZsetupanewarb代ragetradingdepartmenttoexplorestatisticalarbitragetradingstrategiesthatwerenewtothefirm令業(yè)來向IOI%

3-Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 Web/atthetime.Aprominentandexperiencedalgorithmictraderwashiredtoheadthedepartment,andthedepartmenthassucceededingeneratingsteadyprofitseachyearhighfrequencytrading(HFT).Whileconductinginterviewswithkeye1plye,theconsultantlearnsthattheCROisconcernedthatthearb代ragetradingeartmntoperateswithmoreautonomythanotherareasofthefirm.Theconsultantalsofindsthattradinglimitsarenotappliedtoarb代ragetradingactivitiesthroughstaindardinformationtechnology(IT)controlmeasures.班后續(xù)一天更新，請(qǐng)聯(lián)系wxi:88倒賣者無更新。Whenquestioned,theheadofritrg:tradingexinedthatthelackofITbasedtradinglimitsisnecessarysincetheexistingriskcontrolsarenotflexibleenoughtohandlethevolume,spread,andcomple!xityofthedepartment'stradingstrategies.Instead,adetailedlim代reportispreparedforthetradingdeskdaily.Thisreportisreviewedeachdaywiththeheadtraderndrevisedasneeded.Furthermore,theheadofarb代ragetradingdisagreeswiththeCIRO'sclaim,statingthatthedepartmentdoesnotoperateautonomouslybutreportsdirectlytotheCEO,providingtheCEOwithasummaryofthelimitreportinaweeklybiiingpackage.Oneofthesreviewedbythec:onsultantwasalistof"rulesofthumb"thetradersinthearb代ragetradingdepartmentusewhenassessingopportunitiesanddecidinghowtomodelpositionsandtheirrisks.Whichruleofthumbiscorrect?Whenstresstestingaportfolioofloing-shortpositions,correlationwillberelevantforestimatingVaRbutnotforestimatingES.Whenmodelingthecorrelationbetweenassetreturnswithlargeoutliers,Kendall'sTaushouldbeusedtoobtainmoreconservativeestimates.Whenevaluatingthemarketriskoftwoassets,aPearsoncorrelationofreturnsofzerodoesnotnecessarilyimplythatthereturnsareindependent.Ifthe1-dayautocorrelationcoefficientofatime-seriesisgreaterthan0.5then,onaverage,adeviationfromthelongte!rmmeanwill"revert"tothatlongtermmeanbyatleast50%inaday.令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 /

Web/Anunderwriterstructuresacollalizedloanobligation(CLO)composedof100identicalloans,eachwithanotionalvl:ofGBP800,000toberepaidinoneyearwithaninterestrateofLIBOR+3%.TheCLOhasonennedpaymentatmaturityanditsFace GBP10 LIBOR+SeniorGBP65 LIBOR+AtmaturitytheCLOaccumulatesGBP6,625,000oflossesfromdefaultsandunpaidinterest.IfLIBORwasflatat1%overthe1.period,andassumingnorecoveryonthedefaults,howwouldthelossesbeabsorbedbythecapitalstructure?Theequitytranchewilllosesomeoifitsvalue,andtheothertrancheswillnotbeTheequitytranchewillloseallofitsvalue,andtheothertrancheswillnotbeTheequitytranchewilllosesomeofitsvalue,andthemezzaninetrancheswilllosesomeofitsvalue.Theequitytranchewillloseallofitsvalue,andthemezzaninetranchewilllosesomeofitsvalue.Theannualmeanandvarianceofaportfolioare7%and0.16%,respectively.currentvalueoftheportfolioisGBP1,000,000.Howdoesthe1-week99%VaRthatiscalculatedusinganormaldistributionassumption(normalVaR)comparewith8-令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 / Web/KRW54.5billion;thebanksatisfiestheNSFRKRW54.5billion;thebankdoesnot:tsytheNSFRKRW72billion;thebanksatisfiestheNSFRKRW72billion;thebankdoesnotsatisfytheNSFRSoundriskmeasurementpracticeremind:;usthatestimatorsareonlyasusefulastheirprecision.Thatis,estimatorsthatarelt?ssprecisewillhavelimitedpracticalvalue.Whichofthefollowingstatementsleastdescribesspectralriskmeasurementandcoherentriskmeasures?Acoherentriskmeasureisaweighedaverageofthelesofthelossdistributionwheretheweightsareuserspecificbasedonindividualriskaversion.ESisaspecialcaseofcoherentriskmeasure.BothVaRandESarespectralriskmeasurement,whenthelossdistributioniselliptical,VaRalsomeetstherequire!mentofsubadd巾vityandisqualifiedtobeacoherentmeasure.持續(xù)更新通知：xuebajun888sThemonotonicityincoherentriskmeasureindicatesthelargerrisk,thelargerThecurveofESissmootherthanh1tofVaRandESislesssensitivetoghostArecentreviewofthemeasuresrelatedtobanks'operationalriskmodellingpracticesandcapital esrevealedthatthec,mexpectationsfailedtomaterialize.TheinherentcomplexityoftheAMAarisingfromawiderangeofinternalmodelingpracticeshaveexacerbatedvariabilityinriskweightedcapitalratios.Thecommitteehasthereforedeterminedthatthewithdrawalofinternalmodelingapproachesforoperationalriskregulatorycapitalfromth,eBaselFrameworkiswarranted.EachofthefollowingsistheadvantageofSMAovertheotherapproachforoperationalriskcapitalmeasurementexceptwhichisnot?ThebasicindicatorapproachandstandardizedapproachdonotcorrectlytheOperationalRiskcapital,i.e.,r, easaconstantindicator令業(yè)來向IOI% 市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 / Web/Afirm'sriskmanagementstaffobtaineda1-day95%VaRestimateusinghistoricalsimulationanda100-daylookbackperiod.Overthefollowing10tradingdays,thelowestportfolioreturnis-2590.Roundedtotheneatestpercent,whatshouldtheriskmanager'sresultbefortheupdated1-day95%1-6-2-7-34--89-5--505059D．9DTreasurymanagersatabankarenningtoenterintoarepurchaseagreement(repo)transactionwithalargehedgefund.In1thistransaction,thebankwillborrowafixedsumofcashwhilelendingUSO100millionparvalueinTreasurybondstothehedgefund.Whichstatementbelowiscorrectregardingthemechanicsofthisrepotransaction?Ahigherbondpricereducesthehedgefund'screditexposuretothe Thereporateforsecuritiestrading"special"ishigherthantherateforgeneralsecurities.持續(xù)更新通知 Apositivereporateresultsinaforwardrepurchasepricethatislowerthanbond'sinitialrepoArepotransaction'stermandratearenormallysetequaltothematurityandcouponoftheunderlyingsecurity. namedJackRyanhasali,dtoopenanewaccountat16-Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 Web/InternationalBank.ThebankhasamodE!rn,well-established,andcompliantcustomeracceptance.Immediaythebankisabletodeterminetwofacts:Jackisahighriskcustomer,buthepreviouslyhadanaccountatanotherlargebank.Further,QuadstreetdoesconductbusinesswithJack'spreviousbankandconsidersittobereputable.Withrespecttomoneylaunderingandterrorismfinancing(ML/FT),whichofthefollowingstatementsisTRUEaboutJaiekRyan'sapplication?Jack'sidentitymustbeestablishedandverifiedbeforecarryingoutanyBecauseJackisahigh-riskcustomer,thebankisrequiredtoavoidhimlikeanyhighriskcustomer.持續(xù)更新通知 BecauseJackalreadyhasanaccountatareputablebank,hecanbeclassifiedaslowriskandwell-identified.assumptionthatthemediaalreadyvi?tshimandhecannotevadescrutiny.Acreditriskmanagerhaspreparedareenttontonewysistoillustratetheimpactofmodelrisk.Asoneexample,themanagerdiscussestwomistakesthatwouldweakenthepoweroftestduringtheback-testingonadailyholdingperiodVaRmodelconstructedat95%confidencelevelovera252-dayperiod.MistooktheKupiectestresult(LRuc)3.96for3.69duringthebacktestingat95%confidencelevel.Whichofthemistakesmentionedabovecirecorrect?IYourbankisconsideringmakingaUSO500m仆lionloanthatwillbefullyfunded17-令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 / UsingaGaussiancopulatomodeldependencebetweenseveralmarginallossdistributionsrepresentingdifferentbusinessunitsatthebankAssumingthatoperationallosseventsandseverityacrossthebank'sbusinessunitsareperfectlydependentRelyingsolelyuponhistoricalintern;allosseventsandseveritycollectedoverthepastfiveyearsAnystinthemodelvalidationteannisreviewingthefirm'sVaRmodel.Whichpracticeismostlikelytointroducemodeliriskintoafirm'sVaRmodel?Usinga99%confidencelevelinsteadofa95%confidencelevelforanewsimulationrunAssumingavariablecorrelationbe1tweenassetsinahedgedportfolioacrossaquarterlyforecastperiodRunningaMonteCarlosimulationtoestimatethestandarddeviationofthemodel'soutputBacktestingthe95%VaRmodelon99%orevenhigherconfidencelevelforthepurposeofcapturingextremevaluecmdverifyingthemodel.Ariskmanagerisevaluatingadistributionofreturnsoverthepast250tradingdaysandgeneratesthefollowingQQ-plot:令業(yè)來向IOI%

Add/市松花江烙2539號(hào)旦科技園1號(hào)樓/2號(hào)樓 22-Web/Mostfinancialassetsaremanagedbyprofessionalinvestors,whothusatleastindirectlyallocatethelion'sshareofcapitalacrossfirms.Efficientallocationthereforedependsonthequalityofthesess:onasandtheab巾tyoffinancialmarketstoidentifyanddirectcapitaltothebeststewards.Therefore,ifcapitalmarketsaretobereasonablyefficient,investorsmustbeabletomeasuretheperformanceoftheirassetmanagers.Whichofthefollowingstatemi?ntsaboutperformancemeasuresisfalse?M2focusesontotalvolatilityasameasureofrisk,butitsriskadjustmentleadstoaneasytointerpretdifferentialreturnrelativetothebenarkindex.Thereturnfortheperfecttimerineachyearistheaverageofthereturnonstocksandthereturnonbills.(um)Markettiminginvolvesshiftingfundsbetweenamarketindexportfolioandasafeasset,dependingonwhetherthemarketindexisexpectedtooutperformthesafeasset.持續(xù)更新通知：xuebajun888sManagerscanmanipulatetheirperformancemeasuresbyadjustingtheirrisk-returnprofileinresponsetoperformanceintheearlypartofanevaluationperiod.AEuropeanputoptionhastwoyearstoexpirationandastrikepriceof$101.00.Theunderlyingisa7%annualcouponbondwiththreeyearstomaturity.Assumethattheriskneutralprobab仆ityofanupmoveis0.5inyear1and0.60inyear2.Thecurrentinterestrateis3.00Attheendofyear:1,theratewilleitherbe5.99or4.44%.Iftherateinyear1is5.99itwilleitherriseto8.56%orriseto6.34inyear2.Iftherateinoneyearis4.44%,itwilleitherriseto6.34%orriseto4.70%.Thevalueoftheputoptiontodayisclosetto:USOUSOUSO令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 /

Web/Ariskystestimatesthatthehazardratefora is0.1peryear.Assumingaconstanthazardratemodel,whatisthepilitythatthe willsurviveinthefirstyearandthendefaultbeforetheendofthesecondyear?Whichofthefollowingstatementsis(are)nottrueregardingacreditdefaultswap(CDS)?持續(xù)更新通知：xuebajun888sWhenbuyingprotectioninaCDScontract,anexposurewillbetheresultofthereferenceentity'screditspreadwideining.Creditdefaultswapsareoffbalancesheetarrangementsthatallowoneparty(thebeneficiary)totransferthecreditriskofareferenceassettoanotherparty(theguarantor)withoutactuallysellingtheasset.Ill.Creditdefaultswapscanbethoughtofasinsuranceagainstthedefaultofsomeunderlyinginstrumentorasacalloptionontheunderlyinginstrument.IandIIandIBettyandPeterarediscussingtheproperdefin巾onof"riskcultureInparticulartheyareinterestedintherelationshipbetweencorporatecultureandriskculture.BettyandPetereachhaveadifferent,assummarizedthisway:Bettyarguesthatriskculture(RC)referstothefirm'sbasicassumptions:RCisthesetofvaluesandbeliefsaboutrisksharedbythefirm'semployees.Peterarguesthatriskculture(RC)ireferstonormsandbehavior:RCishowindividualsdiscuss,behave,decide,andactwithrespecttothefirm'srisks令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 /

28-Web/AccordingtoCarrettaandSchwizer,whohasthebetterdefinitionofriskNeitherhasagoodBettyhasthesuperiordefinitionbecauseRCisaboutbeliefs;aka,basicPeterhasthesuperiordefinitionbecauseRCisultimayaboutbehaviors,decisions,andactions;aka,conductBothBettyandPeterhavevaliddefinitionsofInfinance,everyriskisalsoanopportunity.Thetraderstrytoforecastchangesincorrelationandattempttofinancially,ainfromthesechangesincorrelation.Whatshouldatraderdo,ifheexpectsthecorrefationtoriseinthefuture?EntercorrelationswapsasapartytopayforrealizedBuyingcalloptionsonanindexands,ellingcalloptionsonindividualcomponentsIll.PayingfixedinavarianceswaponanindexandreceivingfixedonindividualIandII AfirmhasenteredintoaUSO20milliontotalreturnswapontheNASDAQ100indexastheindexpayerwithABCCorporation,whichwillpay1-yearLIBOR2.5Thecontractwilllast1year,andcashflowsw仆Ibeei<changedannually.SupposetheNASDAQ100Indexiscurrentlyat2,900andLIBORis1.25%.Thefirmconductsastresstestonthistotalreturnswapusingthefollowingscenario:NASDAQ100in1year:LIBORin1year:Forthisscenario,whatisthefirm'snetcashflowinyearAnetcashoutflowofUSO4.40令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 /

29-Web/Thestudysubstitutesapredictivem,odelforaconventionalcontrolgroupinordertodemonstratecausalitycfafrmcpacma,weixin:ThestudyemploysmachinelearninginordertogenerateamodelwithahighermultiplecoefficientofdeterminationThestudyborrowsfromeconometricsinawaythatbettergeneratesexploratorydataysis(EDA)andrendersthecomplexrelationshipseasiertounderstandABSTSmodelforecastsdirectlythE!betacoefficientofadvertisingspendasanexnatoryvariable,theneconometricmethodsareemployedtooverlytime-seriescovariatesAcreditystmakesthefollowingStatement1:Financialinstitutionsfacebarriersinapplyingmachinelearningsystemsbecausesupervisorylearningapproachesared和culttoapply.Statement2:Combiningmachinelearnigwithhumandecisionstendstoproduceinferiormodelresults.TheystisaccuratewithrespectStatement1Statement2bothneitherAportfolioholds100,000sharesofastockandthissinglepos巾onhasavalueof$3.0m仙on.Thestockisquotedbid$29.00r$31.00.Thestock'sdailyvolatilityis1.43%or143basispoints.Forpurposesofvalueatrisk(VaR),wewillassumethestock'sarithmeticreturnsarenormallydistributed(aka,normalVaR)andtheexpecteddailyreturnroundstozero(undertheseassuimptionsabsoluteVaRisidenticaltorelativeWhichisNEARESTtothepos巾on'sonedlay99.0%confidentliqu心tyadjustedvalueat令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 /

Web/AdvancesfromFederalHomeLoanBanks(aka,FHs)arehighlypopularamongthriftsandsmallbanksasastablesourceofflexible(withrespecttomaturity)fundingatbelow-marketinterestratesAtin巾ationofarepurchaseagreement(repo),CounterpartyAsellsasecuritytoCounterpartyBforsettlementonJunels1t,2015atanpriceofUSO180.0million.Atthesametime,CounterpartyAagreestorepurchasethesecuritythreemonthslater,forsettlementonSeptember1st,2015atapurchasepriceequaltotheoriginalpriceplusinterestatareporateof0.90%.Usingtheactual/360conventionofmostmoneymarketinstruments,whichisnearesttotherepurchaseprice?AtthetimeoftheBearStern'sdemiseinMarch2008,PaulFriedmanwasaSeniorManagingDirectoratthefirmwithnsbiltyforitsfixederepodesk.Abouttherepomarket'sroleinthecollapseofBearSterns,hesaidintestimonybeforetheFinancialCrisisInquiryCommission,riingtheweekofMarch10,2008,BearStearnssufferedfromarunonthebankthatresulted,inmyview,fromanunwarrantedlossofconfidenceinthefirmbycertainofitscustomers,lenders,andcounterparties.Inpart,thislossofconfidencewaspromptedbymarketrumors,whichIbelievewereunsubstantiatedanduntrue,aboutBearStearns'liquidityposition.Nevertheless,thelossofconfidencehadthreerelatedconsequences."EachofthefollowingwasoneofhiscitedthreeconsequencesEXCEPTwhichwasnot?Primebrokerageswithdrewtheircashandunencumberedsecuritiesatarapidandincreasingrate持續(xù)更新通知：xuebajun888sRepomarketlendersdeclinedtorolloverorrenewrepoloans,evenwhentheloansweresupportedbyhigh-qualityirasuchasagencysecurities令業(yè)來向IOI%Add/市松花江芘2539號(hào)復(fù)旦科技園1號(hào)樓/2號(hào)樓 /

40-Web/Counterparttonon-simultaneoussettlementsofforeignexchangetradesrefusedtopayuntilBearStearnspaidfirstShortsellersseizedonthepanicanddrovethestockpricedownwhichreducedequitycapitalavailable,andequitycapitalwasalreadytheleaststablesourceofAccordingtotheFinancialStab山tyBoard,marketstructureischaracterizedby"thenumberandsizeofmarketparticipants,barrierstoentryandexit,andaccessibilityofinformationandtoallpart四pants."Fortheirpurposes,thekeyelementsofmarketstructureareconcentration,contestability,andcomposition.Accordingtotheirresearch,eachofthefollowingstatementsisTRUEexceptwhichisfalse?Smartphoneshavehinderedandslo