GARP International Certificate in Banking Risk and Regulation (ICBRR) Sample Questions:
1. Which one of the four following statements regarding minimum loss data standards is not correct?
A) The loss data entry should only include the date when the event was reported.
B) The loss data entry may include descriptive information about the drivers or causes of the loss event.
C) The loss data entry must include the actual loss amount.
D) The loss data program must comprehensively capture all material activities.
2. In its VaR calculations, JPMorgan Chase uses an expected tail-loss methodology which approximates losses at the 99% confidence level. This methodology consists of two subsequent steps to estimate the VaR. Which of the following explains this two-step methodology?
A) After VaR is computed at the 1% confidence level, the expected tail loss in excess of that confidence level is determined, which and is then compared with the VaR estimate at the 98% confidence level.
B) After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 99% confidence level.
C) After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 98% confidence level.
D) After VaR is computed at the 97% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 99% confidence level.
3. James Johnson bought a coupon bond yielding 4.7% for $1,000. Assuming that the price drops to $976 when yield increases to 4.71%, what is the PVBP of the bond.
A) $76.
B) $870.
C) $976.
D) $26.
4. Arnold Wu owns a floating rate bond. He is concerned that the rates may fall in the future decreasing his payment amount. Which of the following instruments should he buy to hedge against the fall in interest rates?
A) Interest rate cap
B) Interest rate floor
C) Index amortizing swap
D) Interest rate swap that receives floating and pays fixed
5. Which of the following risk types are historically associated with credit derivatives?
I. Documentation risk
II. Definition of credit events
III. Occurrence of credit events
IV.
Enterprise risk
A) II, III, IV
B) I, II
C) I, IV
D) I, II, III
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: D | Question # 3 Answer: D | Question # 4 Answer: B | Question # 5 Answer: D |
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