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| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Introduction | 2% | - Overview of Operational Risk Management |
| Topic 2: Compliance Risk | 6% | - Compliance Risk Framework |
| Topic 3: Risk Information | 10% | - Loss Data, KRIs and Reporting |
| Topic 4: Case Studies | 6% | - Applied Operational Risk Scenarios |
| Topic 5: Operational Resilience | 4% | - Resilience Concepts and Practices |
| Topic 6: Risk Assessment | 10% | - Risk Identification and Assessment Techniques |
| Topic 7: Risk Governance | 6% | - Governance Principles and Risk Roles |
| Topic 8: Operational Risk Capital | 6% | - Capital Concepts & Basel III Context |
| Topic 9: Risk Management Framework | 10% | - Risk Appetite, Policies, Culture |
1. Under the contingent claims approach to measuring credit risk, which of the following factors does NOT affect credit risk:
A) Volatility of the firm's asset values
B) Leverage in the capital structure
C) Cash flows of the firm
D) Maturity of the debt
2. Which of the following is not an approach proposed by the Basel II framework to compute operational riskcapital?
A) Advanced measurement approach
B) Factor based approach
C) Basic indicator approach
D) Standardized approach
3. What isthe risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?
A) 10 days
B) 10 years
C) 1 year
D) 1-day
4. In estimating credit exposure for a line of credit, it is usual to consider:
A) a fixed fraction of the line of credit to be the exposure at default even though the currently drawn amount is quite different from such a fraction.
B) only the value of credit exposure currently existing against the credit line as the exposure at default.
C) the full value of the credit line to be the exposure at default as the borrower has an informational advantage that will lead them to borrow fully against the credit line at the time of default.
D) the present value of the line of credit at the agreed rate of lending.
5. An investor enters into a 5-year total return swap with Bank A, with the investor paying a fixed rate of 6% annually on a notional value of $100m to the bank and receiving thereturns of the S&P500 index with an identical notional value. The swap is reset monthly, ie the payments are exchanged monthly. On Jan 1 of the fourth year, after settling the last month's payments, the bank enters bankruptcy. What is the legal claim thatthe hedge fund has against the bank in the bankruptcy court?
A) The replacement value of the swap
B) $0, as all payments on the swap are current
C) $100m
D) $6m
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: B | Question # 3 Answer: C | Question # 4 Answer: A | Question # 5 Answer: A |
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