- The Fed Reserve’s monetary policy was too expansionary, that is, to lower the interest rate to an unusually low level during the early 2000s. （ ）
- Unexpected Credit Loss captures and measures the downside of credit risk only. （ ）
- If one increases the significance level from 1% to 5%, VaR should usually decrease. （ ）
- The U.S government and its agencies bailed out all major financial institutions in financial distress using tax payer money during and after the crisis. （ ）
- The risk-adjusted return on capital measurement penalizes a transaction’s return based on its VaR. （ ）
- Since the Industrial Revolution, firms have replaced households as the major producer in an economy. （ ）
- Liquidity risk at the asset level has nothing to do with that at the institution level. （ ）
- In a self-sufficient economy, households are both consumers and producers. （ ）
- Stress tests are designed to examine a financial institution’s stability when faced with rare, unlikely, but destructive events. （ ）
- A VaR model would fail a single-tailed back test if it produces either too many or too few exceptions. （ ）
- Directly summing up VaRs may usually overstate the riskiness of the portfolio since VaR does not capture the diversification effect. （ ）
- Among the three factors of credit risk, credit exposure always remains constant. （ ）
- Cumulative Default Rate and Survival Rate always sum up to one. （ ）
- Both on-balance-sheet items and off-balance-sheet items can give rise to liquidity risk. （ ）
- Market risk arises only when an asset is tradable on a specific market. （ ）
- Financial institutions may choose to manage their operational risk by purchasing insurances. However, insurances may be subject to moral hazard or adverse selection problems. （ ）
- If a financial institution does not conduct net worth immunization timely, then its net worth will always decrease due to interest rate changes. （ ）
- Basel Accord III allows financial institutions to estimate their own capital charge on certain types of risk. However, those estimates are subject to back tests and other scrutiny. （ ）
- According to Basel Accord III, as a VaR model produces more and more exceptions, the financial institution will be required to hold less and less capital reserve. （ ）
- Given the same term structure, yields to maturity should be identical across all bonds. （ ）
- Beta measures the diversifiable risk of a stock’s returns. （ ）
- VaR is the cutoff value between the known-unknown and the unknown-unknown. （ ）
- Any coupon bonds can be seen as a combination of several zero-coupon bonds. （ ）
- The financial crisis eventually led to an economic recession. As a result, both GDP and unemployment rate deteriorated greatly in the U.S. （ ）
- If a VaR model in use is of good quality, then we expect the frequency of worse-than-VaR losses in line with the significance level. （ ）
- Mortality risk refers to the possibility that a human being outlives his/her resources and runs out wealth. （ ）
- Assets that have more potential investors are generally less liquid. （ ）
- In reality, in a back test we may observe any number of exceptions up to the total number of days. （ ）
- During the initial stage of the financial crisis, a great many of financial institutions reported significant losses due to subprime mortgage loans or related MBSs. （ ）
- Using duration can precisely calculate any changes to bond price due to interest rate changes. （ ）
- Which of the following external method can mitigate operational risk? （ ）
- Which of the following is correct about the methods of estimating VaR? （ ）
- Why purchasing insurance to manage operational risk can be challenging? （ ）
- Which of the following is correct about a bond and its interest rate risk? （ ）
- Which of the following is correct about the three zones of the downside risk? （ ）
- Suppose a derivatives position has the following characteristics： 10% chance to gain 2 million rmb, 80% chance to break even, 8% chance to loss 1 million rmb, and 2% chance to lose 5 million rmb. What is the VaR at 95% confidence level? （ ）
- Which of the following is correct about CAPM? （ ）
- Which of the following is correct about duration? （ ）
- Which of the following is correct about risk? （ ）
- Which of the following can NOT be used to manage credit risk? （ ）
- During the financial crisis, many financial institutions, including commercial banks and investment banks, took on debt in a very aggressive manner to bet on a housing market boom, and eventually overborrowed. （ ）
- The subprime mortgage crisis was triggered by the burst of a housing bubble in the U.S. （ ）
- Securitization can help banks and loan companies to sell existing loans on their balance sheet and increase the turnover of capital. （ ）
- Banks’ lending criteria became less and less stringent for mortgage loan takers as the crisis developed and progressed. （ ）
- Which of the following is a cause to the subprime mortgage crisis? （ ）
- Which of the following is correct about risk charges according to Basel III? （ ）
- Basel Accord specifies the minimum amount of capital a financial institution should hold against financial risks. （ ）
- Integrated risk management requires measuring risk across all business units and all risk factors, using consistent methodologies, systems and data. （ ）
- The market risk of collateral may give rise to the counterparty risk of a derivatives trade. （ ）
- Which of the following is not added to the capital requirements by Basel III to reflect the new development in risk management after the subprime crisis? （ ）
- The bid-ask spread is a useful measure for funding liquidity risk. （ ）
- The easier an asset can be sold, the greater asset liquidity risk it has. （ ）
- Which of the following is NOT a characteristic of a high-quality-liquid asset (HQLA)? （ ）
- Which of the following can be done to generate cash, if a funding gap emerges? （ ）
- One line of defense for liquidity risk management is to maintain a stable funding strategy that provides effective diversification in the sources and tenor of funding. （ ）
- Which of the following is NOT a type of operational risk? （ ）
- Which of the following can be implemented in order to enhance internal control? （ ）
- That banks with poor controls are more inclined to purchase insurance than banks with good controls is referred as “moral hazard” problems. （ ）
- Which of the following is correct about using internal data and external data in estimating operational risk models for a bank? （ ）
- In assessing operational risk using the Loss Distribution Approach, one only needs to estimate the distribution of loss frequency. （ ）
- Credit risk can only be managed by using derivatives. （ ）
- Which of the following is an effective approach to manage counterparty risk? （ ）
- Which of the following is incorrect about CDS? （ ）
- Credit risk usually has a symmetric distribution on credit loss. （ ）
- Credit rating measures credit risk and the highest credit rating is A, implying the greatest credit worthiness of all bonds. （ ）
- One can manage firm-specific risk by diversification. （ ）
- Which of the following is correct about factor models? （ ）
- Which of the following is correct about the term structure? （ ）
- If interest rates go up, both pricing risk and reinvestment risk go up as well. （ ）
- The rebalancing in bond immunization should be as frequent as possible. （ ）
- Stress tests are designed to test the stability of financial institutions in the face of ordinary, routinely occurring, non-disruptive events.（ ）
- The confident level is a percentage number, which measures the likelihood of acceptable loss. （ ）
- VaR satisfies sub-additivity, which means that the VaR of two risk assets/portfolios is lower than the sum of the two VaRs.（ ）
- VaR measures the worst loss. （ ）
- Which of the following is correct about VaR? （ ）
- Longevity risk refers to the possibility that a human being outlives his/her resources and runs out wealth. （ ）
- Which of the following is correct about financial risk management? （ ）
- A firm should hedge all risks for risk management purposes。（ ）
- Which of the following is a reason for why financial risk management can be relevant and useful? （ ）
- The theory of risk management irrelevance states that risk cannot create value for investors since investors can diversify firm-specific risk. （ ）
答案:对
答案:对
答案:对
答案:错
答案:对
答案:对
答案:错
答案:对
答案:对
答案:对
答案:对
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