FRM二级《操作及综合风险管理》While building the bank’s enterprise risk

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.

Which of the following observations of the bank’s data should be considered unexpected if compared to similar industry data?

A. The operational risk loss distribution has a large number of small losses and therefore, a relatively low mode.

B. The operational risk loss distribution is symmetric and fat-tailed.

C. The credit risk distribution is asymmetric and fat-tailed.

D. The market risk distribution is similar to the distribution of the return on a portfolio of securities.

Answer: B

Explanation:

Statements A, C, and D are consistent with industry data.

However, with operational risk, there tends to be large numbers of small losses and a small number of large losses, so the distribution is asymmetric (and fat-tailed).
 

声明丨本文由FRM考试网(frm.gaodun.cn)精编整理,未经许可不得随意转载或引用。