Bank AAA is considering a loan to be fully funded by deposits, with the following parameters: Loan amount: GBP 3 million
While building the bank’s enterprise risk management system, a risk analyst takes an inventory of firm risks and categorizes these risks as market, credit, or operational.
The risk management group estimates the 1-day 99% VaR on a long-only, large-cap equity portfolio using a variety of approaches.
Which of the following is an example of an operational risk loss by Firm A?
The table below shows the quarter-end financing of four broker-dealer financial instruments. All values are in USD billions.
Your bank has HKD 12 billion in revolving credit facilities, of which 70% is currently drawn.
The Basel Committee recommends that banks use a set of early warning indicators in order to identify emerging risks and potential vulnerabilities in its liquidity position.
Consider a 1，000 share position in an undervalued butt illiquid stick FGB， which has a current stock price of EUR 45 (expressed as the midpoint of the current bid-ask spread)。
FRM二级《操作及综合风险管理》：Which of the following is not a type of operational risk as defined by Basel ll/lll?
FRM二级考试科目《信用风险测量与管理》：Credit risk rate丨Consider a 1-year maturity zero-coupon bond with a face value of USD 1,000,000 and a 0%recovery rate issued by Company A.the bond is currently trading at 80%of face value.Assu