GARP 2016-FRR 問題集

質問 1：
Which one of the following is an advantage of using a daily decay factor when forecasting tomorrow's P&L?
A. It decreases the impact of recent high volatility on the forecast
B. It increases the impact of low volatility events that occurred during similar historic situations
C. It gradually lessens the impacts of extreme returns on the forecast
D. It increases the impact of high returns independent of date on the forecast
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 2：
Which one of the following is a typical source of funding for a commercial bank's assets?
A. Cash
B. Consumer deposits
C. Commodities markets
D. Commercial lending
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 3：
Which one of the following four formulas correctly identifies the expected loss for all credit instruments?
A. Expected Loss = Probability of Default x Loss Given Default x Exposure at Default
B. Expected Loss = Probability of Default x Loss Given Default + Exposure at Default
C. Expected Loss = Probability of Default x Loss Given Default / Exposure at Default
D. Expected Loss = Probability of Default x Loss Given Default - Exposure at Default
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 4：
Operational risk team for a large international bank is implementing business continuity planning (BCP).
Which of the following BCP activities fall within the definition of operational risk and represent Basel II Accord's operational risk categories:
I. Damage to Physical Assets
II. Business Disruption and System Failures
III. Social Distancing Requirements
IV. Potential for Extreme Losses
A. III and IV
B. III
C. I and IV
D. I and II
正解：D
解説: (Topexam メンバーにのみ表示されます)

質問 5：
The Treasury function of a bank typically manages all of the following components EXCEPT:
A. Bank's capital
B. Bank's performance estimates
C. Bank's liquidity
D. Bank's assets and liabilities
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 6：
The main building blocks of an operational risk framework include all of the following options EXCEPT:
A. Risk and control self-assessment
B. Scenario analysis
C. Compliance document preparation
D. Loss data collection
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 7：
The exercise for an American type option prior to expiration day is virtually certain in the following case:
A. In the event of a low dividend for an in-the-money put option
B. In the event of a high dividend for an in-the-money call option
C. In the event of a high dividend for an in-the-money put option
D. In the event of a low dividend for an in-the-money call option
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 8：
A bank customer chooses a mortgage with low initial payments and payments that increase over time because the customer knows that she will have trouble making payments in the early years of the loan. The bank makes this type of mortgage with the same default assumptions uses for ordinary mortgages, thus underestimating the risk of default and becoming exposed to:
A. Adverse selection
B. Moral hazard
C. Sampling bias
D. Banking speculation
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 9：
What is the order in which creditors and shareholders get repaid in the event of a bank liquidation?
A. Depositors, shareholders, depositors.
B. Depositors, debt holders, shareholders.
C. Debt holders, depositors, shareholders.
D. Depositors, shareholders, debt holders.
正解：B
解説: (Topexam メンバーにのみ表示されます)