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Free 2016-FRR Exam Braindumps (page: 42)

Page 42 of 86
PDF with 342 Questions

Banks duration match their assets and liabilities to manage their interest risk in their banking book. Currently, the bank's assets and liabilities both have a duration of 10. To hedge against the risk of decreasing interest rates, the bank should
I) Increase the duration of the liabilities
II) Increase the duration of the assets
III) Decrease the duration of the liabilities
IV) Decrease the duration of the assets

  1. I only.
  2. I and II)
  3. II and III)
  4. I and IV

Answer(s): D



Which one of the four following statements about back testing the VaR models is correct?

Back testing requires

  1. Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.
  2. Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.
  3. Plotting the daily profit and losses along with the ranges predicted by VaR models
  4. Determining the proportion of daily profits exceeding those predicted by VaR.

Answer(s): B



On January 1, 2010 the TED (treasury-euro dollar) spread was 0.9%, and on January 31, 2010 the TED spread is 0.4%. As a risk manager, how would you interpret this change?

  1. The decrease in the TED spread indicates a decrease in credit risk on interbank loans.
  2. The decrease in the TED spread indicates an increase in credit risk on interbank loans.
  3. Increase in interest rates on both interbank loans and T-bills.
  4. Increase in credit risk on T-bills.

Answer(s): A



Which one of the following four physical commodities markets has the right combination of characteristics that generally allows short selling in the market, without making the short-selling transaction prohibitively expensive?

  1. Oil
  2. Natural Gas
  3. Grain
  4. Gold

Answer(s): D



Page 42 of 86



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