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Free 2016-FRR Exam Braindumps (page: 12)

Page 12 of 86
PDF with 342 Questions

Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following features EXCEPT:

  1. Exposures can often be netted
  2. Exposure at default may be negatively correlated to the probability of default
  3. Counterparty risk creates a two-way credit exposure
  4. Collateral arrangements are typically static in nature

Answer(s): D



Gamma Bank is active in loan underwriting and securitization business, and given its collective credit exposure, it will be typically most interested in the following types of portfolio credit risk:
I) Expected loss
II) Duration
III) Unexpected loss
IV) Factor sensitivities

  1. I
  2. II
  3. I, III
  4. I, III, IV

Answer(s): D



Which one of the following four statements on the seniority of corporate bonds is incorrect?

  1. Senior bonds typically have lower credit spreads than junior bonds with the same maturity and payment characteristics.
  2. Seniority refers to the priority of a bond in bankruptcy.
  3. Junior bonds always pay higher coupons than subordinated bonds.
  4. In bankruptcy, holders of senior bonds are paid in full before any holders of subordinated bonds receive payment.

Answer(s): C



A credit portfolio manager analyzes a large retail credit portfolio.
Which of the following factors will represent typical disadvantages of market-linked credit risk drivers?

I) Need to supply a large number of input parameters to the model
II) Slow computation speed due to higher simulation complexity
III) Non-linear nature of the model applicable to a specific type of credit portfolios
IV) Need to estimate a large number of unknown variable and use approximations

  1. I
  2. I, II
  3. II, III
  4. III, IV

Answer(s): B






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