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Question 109/161
To quantify the aggregate average loss for the credi t subportfolios, a credit portfolio manager should use the following metric:
Correct Answer: B
To quantify the aggregate average loss for the credit portfolio and its possible constituent subportfolios, a credit portfolio manager should use the expected loss metric. This measure captures the average anticipated loss due to defaults and is essential for understanding the baseline risk of the portfolio.
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- Question List (161q)
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- Question 2: Why is stress testing a valuable part of credit risk assessm...
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- Question 8: When a credit risk manager analyzes default patterns in a sp...
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- Question 15: Which one of the following four statements regarding the ana...
- Question 16: According to the principles of the Basel II Accord, the impl...
- Question 17: Which one of the following four statements presents a challe...
- Question 18: Which of the following statements about a bank's behavior re...
- Question 19: When operating in a heavily traded currency, a commercial an...
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- Question 24: A portfolio manager is interested in computing risk measures...
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- Question 26: Which one of the following financial instruments is subject ...
- Question 27: The pricing of credit default swaps is a function of all of ...
- Question 28: A corporate bond was trading with 2%probability of default a...
- Question 29: Gamma Bank has a significant number of retail customers and ...
- Question 30: By lowering the spread on lower credit quality borrowers, th...
- Question 31: By foreign exchange market convention, spot foreign exchange...
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- Question 33: Which one of the following four statements regarding the bas...
- Question 34: Which of the following correctly identifies reasons for coll...
- Question 35: The Sarbanes-Oxley Act includes one of the following four re...
- Question 36: Which one of the following four examples would not be consid...
- Question 37: What does a bank normally use to cover expected credit losse...
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- Question 39: After entering the securitization business, Delta Bank incre...
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- Question 42: Which of the following attributes of duration gap model typi...
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- Question 47: Bank G has a 1-year VaR of USD 20 million at 99% confidence ...
- Question 48: A retail credit score of above 680 is generally considered t...
- Question 49: James Arthur is a customer of a bank who has taken a floatin...
- Question 50: Banks duration match their assets and liabilities to manage ...
- Question 51: A credit risk analyst is evaluating factors that quantify cr...
- Question 52: Securitization is a process by which banks:...
- Question 53: Which of the following factors would typically increase the ...
- Question 54: Which one of the following four alternatives lists the three...
- Question 55: Over a long period of time DeltaBank has amassed a large equ...
- Question 56: Bank Alpha is making a decision about lending 10-year loans ...
- Question 57: Which one of the following four variables of the Black-Schol...
- Question 58: An asset-sensitive bank will have a ___ cumulative gap and w...
- Question 59: Of all the risk factors in loan pricing, which one of the fo...
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- Question 61: The Basel II Accord's operational risk definition excludes a...
- Question 62: Which one of the following four mathematical option pricing ...
- Question 63: Alpha Bank determined that Delta Industrial Machinery Corpor...
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- Question 65: All of the following performance statistics typically benefi...
- Question 66: Which one of the following four statements regarding commodi...
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- Question 68: Which one of the following four options is NOT a typical com...
- Question 69: James Johnson bought a coupon bond yielding 4.7% for $1,000....
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- Question 71: BetaFin, a financial services firm, does not have retail bra...
- Question 72: Which one of the following four statements about market risk...
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- Question 75: A customer of EtaBank, Alfred Fall, fell on the marble floor...
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- Question 78: A financial analyst is trying to distinguish credit risk fro...
- Question 79: Which of the following reports have been suggested by the FD...
- Question 80: Under the Basel II Accord, when using the Basic Indicator Ap...
- Question 81: A proprietary trading desk for a large bank hedges an Arab l...
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- Question 83: Which of the following statements about the interest rates a...
- Question 84: To hedge equity exposure without buying or selling shares of...
- Question 85: What is a difference between currency swaps and interest rat...
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- Question 88: Bank Milo has $4 million in cash and $5 million in loans com...
- Question 89: Which of the following statements explain how securitization...
- Question 90: Which one of the four following non-statistical risk measure...
- Question 91: Why do regulatory standards impose formulaic capital calcula...
- Question 92: Which one of the following inherent biases occurs in scenari...
- Question 93: PV01 is a method of describing interest rate risk. Which one...
- Question 94: What does Pillar 2 of the Basel II Accord focus on?...
- Question 95: The data available to estimate the statistical distribution ...
- Question 96: A large number of traders decide to follow the same trading ...
- Question 97: Under Basel III, the Comprehensive Risk Measure is an increm...
- Question 98: Short-selling is typically associated with the following ris...
- Question 99: Which of the following attributes are typical for early mode...
- Question 100: Foreign exchange rates are determined by various factors. Co...
- Question 101: The retail banking business of BankGamma has an expected P &...
- Question 102: What does correlation between two variables measure?...
- Question 103: Which one of the four following statements about drawdowns i...
- Question 104: Which one of the following statements correctly identifies r...
- Question 105: Which one of the following four option types has two strike ...
- Question 106: Which one of the following four statements correctly defines...
- Question 107: Which one of the four following statements regarding minimum...
- Question 108: What are the add-on losses faced by a bank that is going ban...
- Question 109: To quantify the aggregate average loss for the credi t subpo...
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- Question 112: Which of the following statements about endogenous and exoge...
- Question 113: What is the explanation offered by the liquidity preference ...
- Question 114: An options trader for a large institutional investor takes a...
- Question 115: Under Basel III, what is divided by Total Exposure to calcul...
- Question 116: Which one of the following four regulatory drivers for opera...
- Question 117: Interest rate swaps are:
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- Question 123: According to Basel II what constitutes Tier 2 capital?...
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- Question 126: Bank Muri has $4 million in cash and $5 million in loans com...
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- Question 128: Which of the following risk types are historically associate...
- Question 129: BIS Principles for Sound Liquidity Risk Management and Super...
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- Question 131: An asset and liability manager for a large financial institu...
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- Question 137: Normally, commercial banking can be viewed as a fixed income...
- Question 138: What is generally true of the relationship between a bond's ...
- Question 139: Which of the following statements defines Value-at-risk (VaR...
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- Question 141: In analyzing market option pricing dynamics, a risk manager ...
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- Question 143: The mark-to-market process includes which one of the followi...
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- Question 155: Mega Bank holds a $250 million mortgage loan portfolio, whic...
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- Question 161: Which one of the following four statements regarding commodi...
