57. Which of the following items is not considered to be an advantage of using back simulation over the
RiskMetrics approach in developing market risk models?
58. An advantage of the historic or back simulation model for quantifying market risk includes
59. A disadvantage of the historic or back simulation model for quantifying market risk includes
60. Which of the following is a method that may overcome weaknesses in the historic or back simulation
model?
61. The specific risk charge in the BIS standardized framework of market risk measurement
62. The general market risk charge in the BIS standardized framework of market risk measurement
63. The additional capital charge for basis risk
64. In the BIS standardized framework model, these are disallowance factors caused by basis risk between the
returns of different types of assets.
65. Which approach, in effect, amounts to simulating or creating artificial trading days and FX rate changes?
66. The BIS plan allowing internal models by the BIS allows the following EXCEPT
67. What is the 10-day VAR?
68. What is the 20-day VAR?
69. What is the maximum yield change expected if a 90 percent confidence (one-tailed) limit is used?
70. What is the maximum yield change expected if a 95 percent confidence (one-tailed) limit is used?
71. What is the maximum yield change expected if a 99 percent confidence (one-tailed) limit is used?
72. What is the modified duration of these bonds?
73. What is the price volatility if the maximum potential adverse move in yields is estimated at 20 basis points?
74. What is the daily earnings at risk (DEAR) of this bond portfolio?
75. What is the 10-day VAR assuming the daily returns are independently distributed?
76. What is the total DEAR of Sumitomo’s trading portfolio if the correlations among assets are ignored?
77. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be
1.0?
78. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be
0.80?
79. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be
0.0?
80. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be
-1.0?
81. What is the 10-day VAR of Sumitomo’s trading portfolio if the correlation among assets is assumed to be
-1.0?
82. What were the respective positions of the two currencies in dollars?
83. What is the value of delta for the respective positions of the two currencies in dollars?
84. Over the past 500 days, the 25th worst day for adverse exchange rate changes saw a change in the exchange
rates of 0.78 percent for the Yen and 0.30 percent for the Swiss Franc. What is the expected VAR exposure on
December 31?
85. What are the net positions for each foreign exchange held in the portfolio?
86. What is the capital charge for its foreign exchange holdings using the BIS short hand method?
87. What is the capital charge for unsystematic risk (x-factor) under the BIS proposals?
88. What is the capital charge for systematic risk (y-factor) under the BIS proposals?
89. What is the total capital charge for its portfolio of stocks under the BIS proposals?
90. What is the 10-day VAR using the previous day’s DEAR estimate?
91. Using the BIS internal guidelines, what is the total capital (Tier I, II and III) required to lower market risk?
92. Is there sufficient capital to meet the BIS proposed standards?