2016年5月FRM二级模拟考试一（答案）

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2016 年 5 月 FRM 二级模拟考试（一）
1. Answer: A
EL = PD × LGD = 0.008 = 2%×LGD→LGD = 0.4
PD × RR + (1 – PD) × (1 + Rf + z) ≥ 1 + Rf
2% × 0.6 + 98% × (1 + 4% + z) ≥ 1 + 4%
z ≥ 90 bps
2. Answer: D
Negative short-term interest rates can arise in models for which the terminal distribution of
interest rates follows a normal distribution. The existence of negative interest rates does
not make much economic sense since market participants would generally not lend cash
at negative interest rates when they can hold cash and earn a zero return. One method
that can be used to address the potential for negative interest rates when constructing
interest rate trees is to set all negative interest rates to zero.
3. Answer: B
VaR was developed as a way for banks to track the economic capital requirements while
taking into account the effects of diversification on the risk of the portfolio. Delta-normal
VaR is computationally simpler than portfolio standard deviation. The correct
interpretation of Brown’s daily VaR(10%) is that there is a 10% chance that on any given
day, the portfolio will lose more than $20,000 in value.
4. Answer: D
The cumulative default probability after 3 periods = 1 – EXP(-0.2 × 3)
The conditional default probability is memoryless, and the conditional default probability
after 1 period = 1 – exp(-0.2 × 1) = 0.18
The default probability in the second period = 1 – exp(-0.2 × 2) – [1 – exp(-0.2 × 1)] =
0.149
5. Answer: B
Optimal allocation is not only dependent on information ratios but also on the tracking
errors volatility. So Statement II is incorrect. Statement III is correct; any difference (in
case of less than 100% optimal allocation) can be assigned to the benchmark portfolio.
Therefore, Statement IV is incorrect. Tracking error volatility is defined as the standard
deviation of the difference between the returns on a portfolio and the benchmark portfolio.
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6. Answer: C
The volatility-weighted and correlation-weighted historical simulations were correctly
described.
7. Answer: C
Normal VaR = |0.1 – 1.645×0.4| = 0.558
Lognormal VaR = 1 – exp[0.1 – 1.645×0.4] = 0.4276
Hence, with a portfolio of GBP 100,000 this translates to GBP 13,040.
8. Answer: C
The variance-covariance matrix summarizes the interdependencies across risk types and
provides a flexible framework for recognizing diversification benefits.
9. Answer: B
Initial Balance Sheet:
Assets Liabilities and Equity
Cash $200 Debt $0
Stock $0 Equity $200
Total Assets $200 TL and OE $200
Next, the client uses 50% borrowed funds and invests 50% equity (i.e., haircut = 50%) to
buy shares of stock. That is:
Assets Liabilities and Equity
Cash $100 Margin Loan $100
Stock $200 Equity $200
Total Assets $300 TL and OE $300
Thus, the leverage ratio has increased to 1.5 (i.e., $300/$200).
10. Answer: C
Non-parametric approaches can accommodate fat tails, skewness, and any other
non-normal features that can cause problems for parametric approaches. However, if the
data period that is used in estimation includes few losses or losses with low magnitude,
non-parametric methods will often produce risk measures that are too low. Hence
parametric methods would be more appropriate in those situations.
11. Answer: B
Statement I is incorrect. AMA is the most flexible method. Statement II is correct. The
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most popular method to satisfy the AMA is the loss distribution approach (LDA).Statement
III is correct. The AMA method allows a bank to build its own operational risk model and
measurement system that is comparable to market risk standards. Statement IV is
incorrect. LDA is widely used in insurance and actuarial science.
12. Answer: C
Interest rate risk is the broad market variable captured by VaR while credit risk is the
specific variable captured by the specific risk charge (SRC).
13. Answer: C
Statements A and D are not necessarily true as the relative amounts of senior and
subordinated debt can vary dramatically. Statement B is false. Subordinated debt has
priority after senior debt but ahead of equity. Therefore, the subordinated claim is
between senior debt, F, and total debt, F + U. It follows that the subordinated debt can be
modeled by a long call option with strike price F and a short call with strike price F + U
(not U). Statement c is correct. During financial distress, the equity value is relatively small,
and the subordinated debt claim behaves more like equity as it is closer to receiving
“residual” cash flows. Similarly, when the firm value is relatively high, the subordinated
debt claim behaves more like traditional debt.
14. Answer: D
This Q-Q plot has steeper slopes at the tails of the plot, which indicate fat tails in the
distribution. A normal distribution would result in a linear QQ plot. A distribution with thin
tails would produce a QQ plot with less steep slopes at the tails of the plot than a linear
relationship, while this one is steeper at the tails. It is not a negatively skewed distribution,
as the Q-Q plot is symmetric.
15. Answer: D
ARAROC = (0.13 - 0.03)/1.3 = 0.0769 = 7.69%.
The project should be rejected because the ARAROC of 7.69% is less than the excess
return on the market: 11% - 3% = 8%.
16. Answer: A
r[2,0] = r(0) + 2 × lambda × dt – 2 × sigma × SQRT(dt) = 3.0% + 2 × 0.50% × 1/12 – 2 ×
2.0% × SQRT(1/12) = 1.929%
17. Answer: A
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Default sensitivities are computed by shocking various hypothetical default probabilities.

Default sensitivities are always positive although they will converge to zero at high default
rates for all tranches. Default sensitivities are largest at values that create losses close to
the attachment points.
18. Answer: C
The severity distribution will be heavy-tailed and skewed to the right.
Girling: "The most common and least complex approach to modeling severity is to use a
lognormal distribution, although low frequency losses may fit better to other options such
as Generalized Gamma, Transformed Beta, Generalized Pareto, or Weibull. Regulators
take a keen interest in how well the selected distribution demonstrates 'goodness of fit' --
or in other words, how certain are you that the sample comes from the population with the
claimed distribution. When selecting which approach to use, the AMA guidelines also
provide the following guidance:
The selection of probability distributions should be consistent with all elements of the AMA
model. In addition to statistical goodness of fit, Dutta and Perry (2007) have proposed the
following criteria for assessing a model's suitability:
 Realistic (e.g., it generates a loss distribution with a realistic capital requirements
estimate, without the need to implement “corrective adjustments” such as caps),
 Well specified (e.g., the characteristics of the fitted data are similar to the loss data
and logically consistent),
 Flexible (e.g., the method is able to reasonably accommodate a wide variety of
empirical data) and
 Simple (e.g., it is easy to implement and it is easy to generate random numbers for
the purpose of loss simulation).
19. Answer: B
VaR measures will vary according to the approach (delta-normal, historical simulation,
Monte Carlo simulation). The variation in these values does not suggest bigger problems
with data or programming/implementation nor is there any reason to suspect endogenous
model risk (e.g., traders gaming the system to lower risk values).
20. Answer: C
The mean reversion rate, a, indicates the speed of the change or reversion back to the
mean. If the mean reversion rate is 0.4 and the difference between the last variable and
long-run mean is 10 (= 40 – 30), the expected change for the next period is 4 (i.e., 0.4 ×
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10 = 4).
21. Answer: B
A break clause (liquidity put) would allow Jorgens to terminate transactions at
prespecified future dates. Walkaway clauses would allow Jorgens to walk away from its
liabilities if its counterparty defaulted while maintaining the ability to make a claim if the
exposure was positive. Additional termination events would allow Jorgens to close-out
specific transactions if a specified additional termination event (e.g., ratings downgrade,
net asset value change, management change) occurred.
22. Answer: C
The left-hand side of Jensen’s inequality is the expected price in one year using the
1-year spot rates of 6% and 4% as:
 $1  $1 $1
E   0.5   0.5   0.5  0.94340  0.5  0.96154  0.95247
 1 r   1.06 1.04
The expected price in one year using an expected rate of 6% computes the right-hand
side of the inequality as:
$1 $1
  0.95238
0.5 1.06  0.5 1.04 1.05
Next, divide each side of the equation by 1.05 to discount the expected 1-year zero
coupon bond price for one more year at 5%. The price of the 2-year zero coupon bond
equals $0.90711 (calculated as $0.95247 / 1.05), which is greater than $0.90703 or the
price of a two-year zero-coupon bond discounted for two years at the expected rate of
5%:
1
 0.90703
1.05
2
Thus, Jensen’s inequality reveals that $0.90711 > $0.90703.
23. Answer: C
Dowd: “We have assumed so far that the stochastic process driving our data is iid, but
most financial returns exhibit some form of time dependency (or pattern over time). This
time dependency usually takes the form of clustering, where high/low observations are
clustered together. Clustering matters for a number of reasons, including: It violates an
important premise on which the earlier results depend, and the statistical implications of
clustering are not well understood. There are two simple methods of dealing with time
dependency in our data. Perhaps the most common (and certainly the easiest) is just to
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apply GEV distributions to block maxima. This is the simplest and most widely used
approach. It exploits the point that maxima are usually less clustered than the underlying
data from which they are drawn, and become even less clustered as the periods of time
from which they are drawn get longer. ”
24. Answer: C
EV problems are intrinsically difficult, because by definition we always have relatively few
extreme-value observations to work with. This means that any EV estimates will
necessarily be very uncertain, relative to any estimates we might make of more central
quantiles or probabilities. EV estimates will therefore have relatively wide confidence
intervals attached to them. This uncertainty is not a fault of EVT as such, but an inevitable
consequence of our paucity of data.
25. Answer: D
The decrease in probability of default would increase the value of the equity tranche. Also,
a default of the equity tranche would increase the probability of default of the senior
tranche, due to increased correlation, reducing its value. Thus, it is better to go long the
equity tranche and short the senior tranche.
26. Answer: B
Assigned
Ranked
(same year) Rank of
Year
Return of
Return of
X(i)
Y(i) X(i) Y(i)
2013 -8.8% 0.8% 1 3
2011 -5.1% -1.5% 2 2
2010 1.0% -3.3% 3 1
2014 4.7% 6.2% 4 5
2012 9.6% 4.0% 5 4
Concordant pairs: (1, 3), (4, 5); (1, 3), (5, 4); (3, 1), (5, 4); (3, 1), (4, 5), 4 pairs
Discordant pairs: (1, 3), (3, 1); (4, 5), (5, 4), 2 pairs
42
 tau  0.2
5 5  1 2
27. Answer: D
This is exactly the approach taken by Basel's internal ratings-based (IRB) approach which
is essentially an original one-factor Gaussian Copula (OFGC) model.
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28. Answer: C
The longer-term funding ratio is equal to the available amount of stable funding divided by
the required amount of stable funding. Under Basel III, this ratio must equal or exceed
100%. Small Bank’s net stable funding ratio = $255/$250 = 102%.
29. Answer: B
One of the key frictions in the process of securitization involves an information problem
between the originator and arranger. In particular, the originator has an information
advantage over the arranger with regard to the quality of the borrower. Without adequate
safeguards in place, an originator can have the incentive to collaborate with a borrower in
order to make significant misrepresentations on the loan application. Depending on the
situation, this could be either construed as predatory lending (where the lender convinces
the borrower to borrow too large of a sum given the borrower’s financial situation) or
predatory borrowing (the borrower convinces the lender to lend too large a sum).
The major rating agencies are not paid by the investors. Escrow accounts can forestall
but not eliminate the risk of foreclosure.
30. Answer: C
Derivatives market participants do not use treasury rates as risk-free rates. This is
because treasury rates are generally considered to be artificially low.
Following the credit crisis, most banks have changed their risk-free discount rates for
collateralized transactions from LIBOR to what are known as overnight indexed swap
(OIS) rates. But for non-collateralized transactions they continue to use LIBOR, or an
even higher discount rate.
An overnight indexed swap (OIS) is a swap where a fixed rate for a period (e.g., 1 month
or 3 months) is exchanged for the geometric average of the overnight rates during the
period.
OIS rate is generally lower because overnight lenders bear much less risk.
LIBOR is short for London Interbank Offered Rate. It is an unsecured short-term
borrowing rate between banks. LIBOR rates have traditionally been calculated each
business day for 10 currencies and 15 borrowing periods. The borrowing periods range
from one day to one year. LIBOR rates are used as reference rates for hundreds of
trillions of dollars of transactions throughout the world.
31. Answer: C
Mapping government bonds paying regular coupons onto zero coupon government bonds
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is an adequate process, because both categories of bonds are government issued and
therefore have a very similar sensitivity to risk factors. However, this is not a perfect
mapping since the sensitivity of both classes of bonds to specific risk factor (i.e. changes
in interest rates) may differ.
32. Answer: B
The three common “lines of defense” suggested by the Basel Committee on Banking
Supervision and employed by firms to control operational risks are: (1) business line
management, (2) an independent operational risk management function, and (3)
independent reviews of operational risks and risk management.
33. Answer: D
Using a Vasicek model, the upper and lower nodes for time 1 are computed as follows:
upper node 6.2% 

0.4  13.2%  6.2% 
2.5%
7.16%
12 12
lower node  6.2% 

0.4  13.2%  6.2%  2.5%  5.71%
12 12
34. Answer: C
If the swap specifies physical delivery, the buyer of the swap will deliver the reference
obligation to the seller and receive the par value of the obligation.
35. Answer: C

LVaR VaR  LC
 45
20,000  0.38% 1.645  0.5  45  20,000  0.1 45
 6,625.9
36. Answer: D
The following model risks are represented by choices a through c: incorrect model
specification, implementation risk, and calibration error. Choice D is correct.
37. Answer: A
If the implied volatilities for actual currency options are greater for away-from-the-money
options than at-the-money options, then currency traders must think there is a greater
chance of extreme price movements than predicted by a lognormal distribution. Empirical
evidence supports this hypothesis.
38. Answer: B
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39. Answer: B
If the number of exceptions is more than 2 and less than 12, we would not reject the
model because the calculated LR is less than 3.84. If we do not reject the model, we may
commit a Type II error. A Type II error is defined as accepting an inaccurate model.
40. Answer: C
HQLA  L1 L2  1 haircut  3  2  0.85  4.7
Total Net Cash Ouflows  80 10%  min10,0.75  80 10%  2
4.7

LCR  2.35
2
41. Answer: C
The value of equity using the Merton model requires the following inputs:
SNd1   Ke Nd2 
rt
 E


ln 100 100e10%5   20%  5
d1,2
20%  5 2
 
1.341641,d2d1 0.894427
Nd1   0.9101
Nd2   0.8144
E  100  0.9101 100  e10%5 0.8144  41.61
Therefore, the value of equity of the firm is $41.61 million. Since the value of debt must be
the difference between the firm’s value of $100 million and the value of equity, the value of
debt is $58.39 million.
42. Answer: C
λ = 6/12 = 0.5 default per month
P(next default within one month) = 1 – exp(-0.5×1) = 39.35%
43. Answer: A
The senior tranche will gain value if the default correlation decreases. High correlation
implies that is one name defaults, a large number of other names in the CDO will also
default. Low correlation implies that if one name defaults, there would be little impact on
the default probability of the other names. Therefore, as the correlation decreases, the
cumulative probability of enough defaults occurring to exceed the credit enhancement on
the senior tranche will also decrease. Hence the investor who has sold protection on the
senior tranche will see a gain.
44. Answer: C
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The scenario described by Walia relates to risk shifting. Risk shifting occurs when risks
and rewards are transferred from one group of market participants to another group
holding different positions in the firm’s capital structure. In this case, risk to the firm’s
assets would benefit equity holders to the detriment of debt holders who have fixed
returns but increased risk of loss.
45. Answer: D
Increasing collateral would effectively reduce current credit exposure depending on the
contract parameters, mainly minimum transfer amount and threshold.
46. Answer: D
For investors, there was little expectation of portfolio losses in senior tranches. However,
when repayment issues surfaced in the riskiest tranches, a lack of confidence spread to
holders of more senior tranches. This caused panic among investors and a flight into
safer assets, resulting in a fire sale of securitized debt.
47. Answer: B
The liquidity-adjusted VaR is the sum of two components. The first component is the VaR,
which is the stock price times the z-score times the stock price standard deviation: $200 ×
0.03 × 1.65 = $9.90. The second component adjusts for liquidity risk and is half the stock
price times a bid-ask spread component: 0.5 × [$200 × (0.01 + 1.96 × 0.005)] = $1.98.
Note that we use a critical z-score of 1.96 when calculating the liquidity risk component.
The liquidity-adjusted VaR is thus: $9.90 + $1.98 = $11.88.
48. Answer: B
In years (1) to (3), the loan interest exceeds the $5.6750 total bond coupon obligation,
such that positive excess spread remains.
Only in year (4) is there an interest shortfall, but the 65,000 is drawn from the OC account
to pay the bond interest. In this way, the total coupon payments of $5.6750 are fully
funded through year four.
The deficit in year (5) is $86.356 - 100.675 million = -$14.3186 million. While the bond
obligation consists of $85 principal + $4.675 interest = $89.675 to senior bond holders;
and $10 principal + $1 interest = $11 to junior bond holders. So there is not enough to
buffer the senior bondholders: with an $11.0 million mezzanine shortfall, the senior
bondholders still experience a $3.318 million shortfall.
49. Answer: A
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The adjusted or second generation RAROC is the RAROC minus the risk-free rate
divided by the beta: (15% - 3%)/1.50 = 8.0%. The project should be rejected because the
ARAROC is less than the excess market return of 16% - 3% = 13%.
50. Answer: C
At its meeting in March 2008, the Basel Committee reviewed comments received and
decided to expand the scope of the capital charge (i.e., expand the incremental default
risk charge to the incremental risk charge, IRC). The decision was taken in light of the
recent credit market turmoil where a number of major ranking organizations have
experienced large losses, most of which were sustained in banks’ trading books. Most of
those losses were not captured in the 99%/10-day VaR. Since the losses have not arisen
from actual defaults but rather from credit migrations combined with widening of credit
spreads and the loss of liquidity, applying an incremental risk charge covering default risk
only would not appear adequate. For example, a number of global financial institutions
commented that singling out just default risk was inconsistent with their internal practices
and could be potentially burdensome.
51. Answer: B
As long as the giver of collateral is not in default then they remain the owner from an
economic point of view. Hence, the receiver of collateral must pass on coupon payments,
dividends and any other cash flows.
52. Answer: A
The constant prepayment rate (CPR) and the Public Securities Association (PSA) method
are common methodologies used to estimate prepayments for student loans and
mortgages.
53. Answer: A
Subordination, excess spread, and shifting interest provide protection for senior tranches.
Overcollateralization also provides protection for senior tranches. Timing of losses
impacts excess spreads. Prepayments can accelerate or decelerate the cash flows to
senior tranches.
54. Answer: B
If a firm is in financial distress, the subordinated debt behaves more like equity and a call
option. It will increase in value as time to maturity increases, volatility increases, and
interest rates increase. The senior debt will have negative exposures to these factors. If
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the firm is not in distress, both the senior debt and subordinated debt have negative
exposures to these factors because the subordinated debt behaves more like senior debt
than equity. In this case, choice D would be correct.
55. Answer: C
542,750,000  562,250,000  581,750,000  605,150,000  636,350,000  677,300,000  740,350,000
6
=620,842,857
56. Answer: C
Component VaRB = 26.6/100×1.480×50 = 19.7
57. Answer: A
Business Lines Beta Factors:
 Corporate Finance = 18%
 Trading and sales = 18%
 Retail banking = 12%
 Commercial banking = 15%
 Payment and settlement = 18%
 Agency services = 15%
 Asset management = 12%
 Retail brokerage = 12%
58. Answer: C
ESurplus  600  8%  600  6%  12
Surplus 600 18%  600 14%  2  0.6  600 18%  600 14%
2 2
88.51
Surplus at Risk  12
1.645  88.51  133.60
59. Answer: C
 1,000 1,000 
 50%  1.1  50%  1.04  1.07  874.13
 
 1,000 1,000 
50%   50%   1.07  866.82
 1.109 1.049 
874.13  866.82  7.30
60. Answer: C
(1 – PD) × 1,000,000/1.05 = 800,000
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61. Answer: A
I is true. Using the copula approach, we can calculate the structures of correlation
between variables separately from the marginal distributions. IV is also true. Correlation is
a good measure of dependence when the measured variables are distributed as
multivariate elliptical. II is false. The correlation between transformed variables will not
always be the same as the correlation between those same variables before
transformation. Data transformation can sometimes alter the correlation estimate. III is
also false. Correlation is not defined unless variances are finite.
62. Answer: B
What is needed is a liquidity adjustment that reflects the response of the market to a
possible trade. The formula to use is the ratio of LVaR to VaR:
LVaR ΔP ΔN
VaR
 P
1 1 E 1 N 0.5 20% 1.1   
   
63. Answer: D
Moody’s KMV model evaluates the historical frequency of default for firms with similar
distances to default and uses this as the probability of default.
64. Answer: A
A Poisson distribution is frequently assumed for the distribution of operational risk event
frequency (i.e., number of losses per year). In contrast, a Weibull distribution is used
when modeling the severity of operational risk losses. Therefore, the Poisson distribution
is the more appropriate one to use to model the distribution of frequency. A Frechet
distribution has “heavy” tails, which suggests that there is a greater likelihood of an
extreme event occurring. In contrast, a Gumbel distribution has “light” tails, which
suggests that compared to the Frechet distribution, there is a lesser likelihood of an
extreme event occurring. Gumbel distributions are similar to normal and lognormal
distributions where there is a lesser likelihood of an extreme event occurring. Therefore,
the Frechet distribution is the more appropriate one to use to model the distribution of
severity.
65. Answer: C
Both statements are correct. In the context of using an ERM framework to decentralize
the risk-reward tradeoff in a company, statements I and II are both correct.
66. Answer: B
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EL = 1,000,000 × 0.02 = 20,000

VaR = WCL – EL = 3 × 1,000,000/50 – 20,000 = 60,000 – 20,000 = 40,000
67. Answer: C
The risk-weight function does indeed include an effective maturity adjustment that is
equal to a generic 2.5 years in FIRB and which is defined for each facility in AIRB.
68. Answer: A
Currency options exhibit volatility smiles because the at-the-money options have lower
implied volatility than away-from-the-money options. Equity traders believe that the
probability of large price decreases is greater than the probability of large price increases.
Currency traders’ beliefs about volatility are more symmetric as there is no large skew in
the distribution of expected currency values. (i.e., there is a greater chance of large price
movements in either direction).
69. Answer: B
If the solid blue line is the expected exposure, then the potential future exposure (PFE)
will be greater and the maximum PFE will be the highest PFE value over the interval (but
the PFE profile is not shown).
70. Answer: A
Statement 1 is correct as variability in risk measures, including lack of uniformity in the
use of confidence intervals and time horizons, can lead to variability in VaR estimates.
Statements 2 is incorrect as other factors can also cause variability, including length of the
time series under analysis, ways of estimating moments, mapping techniques, decay
factors, and number of simulations.
71. Answer: A
The choice of distribution related to severity is critical to Advanced Measurement
Approach models. Medium/heavy-tailed distributions are frequently used. The choice of
the frequency distribution is less important to the final outcome than the choice of the
severity distribution.
72. Answer: B
Number of
Loss (USD) Probability
Occurrences
0 0 0.6
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1 1,000 0.3 × 0.5 = 0.15
1 100,000 0.3 × 0.4 = 0.12
1 1,000,000 0.3 × 0.1 = 0.03
2 2,000 0.1 × 0.5 × 0.5 = 0.025
2 200,000 0.1 × 0.4 × 0.4 = 0.016
2 2,000,000 0.1 × 0.1 × 0.1 = 0.001
2 101,000 2 × 0.1 × 0.5 × 0.4 = 0.04
2 1,001,000 2 × 0.1 × 0.5 × 0.1 = 0.01
2 1,100,000 2 × 0.1 × 0.4 × 0.1 = 0.008
EL 70,250
73. Answer: A
A liquidity crisis could materialize if repo creditors become nervous about a bank’s
solvency and choose not to renew their positions. If enough creditors choose not to renew,
the bank could likely be unable to raise sufficient cash by other means on such short
notice, thereby precipitating a crisis. However, this vulnerability is directly related to the
proportion of assets a bank has pledged as collateral. Bank A is least vulnerable since it
has the least dependence on short-term repo financing (i.e., the lowest percentage of its
assets out of the four banks is pledged as collateral: 272/823 = 33%).
74. Answer: C
Component VaRA = 0.05687 × $7,000,000 = $398,090
Component VaRB = 0.17741 × $4,000,000 = $709,640
Portfolio VaR = 1,107,730
398,090/1,107,730 = 35.94%
75. Answer: D
Policy-mix risk, which is the risk of a dollar loss owing to the policy mix selected by the
fund. Since the policy mix generally can be implemented by investing in passive funds,
this risk represents that of a passive strategy. Active-management risk, which is the risk of
a dollar loss owing to the total deviations from the policy mix. The fund’s total VaR can be
obtained from the policy-mix VaR, the active-management VaR, and a cross-product
term.
When liabilities consist mainly of nominal payments, their value in general will behave like
a short position in a long-term bond.
15-16
76. Answer: C
Basel II relies heavily on external credit ratings and the Committee has a focus to reduce
reliance on external ratings. In regard to A, Basel III will add the liquidity coverage ratio
and the net stable funding ratio. In regard to B, Basel III will phase-in the countercyclical
buffer requirement. In regard to D, this is true. The new leverage ratio (Tier 1/Total
Exposure) began in 2013 as an additional measure.
77. Answer: D
Pareto and lognormal distributions (fat-tailed) are generally used for loss severity, Poisson
and Negative Binomial distributions are appropriate for loss frequency.
78. Answer: B
(1 – 5.5%) × (1 – 5.5%) × (1 – 5.5%) × 5.5% = 4.64%
79. Answer: A
p = c + Ke-rt – S = $7.64 + 46e-3%×0.25 – 50 = $3.30
Higher volatility implies higher price.
80. Answer: C
Basel II total risk charge = CRC + MRC + ORC
CRC = 650 × 75% × 8% = $ 39 million
ORC = 15% × 80 = 12 million
Total = 39 + 40 + 12 = $91 million
16-16

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