# Today's Daily Questions

David writes totally fresh, totally original practice questions every week: a fresh set of three questions on Mon and Wed = 6 new practice questions per week. A few hungry customers like to follow along, so we post them here.

Paid members please note: you do not need to collect practice questions one at a time! After a chapter (or section of related chapters) is finished, Nicole collects them into a single PDF file and uploads to the Study Planner. Most paid members will want to go straight to the study planner (unless you want to discuss/etc in the forum). Thank you!

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1. ### P2.T7.802. Risk appetite framework (RAF)

Learning objectives: Describe the concept of a risk appetite framework (RAF), identify the elements of an RAF, and explain the benefits to a firm of having a well-developed RAF. Describe best practices for a firm’s Chief Risk Officer (CRO), Chief Executive Officer (CEO), and its board of directors in the development and implementation of an effective RAF. Explain the role of an RAF in managing...
Learning objectives: Describe the concept of a risk appetite framework (RAF), identify the elements of an RAF, and explain the benefits to a firm of having a well-developed RAF. Describe best practices for a firm’s Chief Risk Officer (CRO), Chief Executive Officer (CEO), and its board of directors in the development and implementation of an effective RAF. Explain the role of an RAF in managing...
Learning objectives: Describe the concept of a risk appetite framework (RAF), identify the elements of an RAF, and explain the benefits to a firm of having a well-developed RAF. Describe best practices for a firm’s Chief Risk Officer (CRO), Chief Executive Officer (CEO), and its board of...
Learning objectives: Describe the concept of a risk appetite framework (RAF), identify the elements of an RAF, and explain the benefits to a firm of having a well-developed RAF. Describe best...
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0
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71
2. ### P1.T4.809. Coherent risk measures (Dowd Ch.2)

Learning objectives: Define the properties of a coherent risk measure and explain the meaning of each property. Explain why VaR is not a coherent risk measure. Questions: 809.1. A credit portfolio contains five identical bonds. Each bond has a face value of $1,000 and default probability of 80 basis points (0.80%). The bonds are completely independent: their pairwise default correlations are... Learning objectives: Define the properties of a coherent risk measure and explain the meaning of each property. Explain why VaR is not a coherent risk measure. Questions: 809.1. A credit portfolio contains five identical bonds. Each bond has a face value of$1,000 and default probability of 80 basis points (0.80%). The bonds are completely independent: their pairwise default correlations are...
Learning objectives: Define the properties of a coherent risk measure and explain the meaning of each property. Explain why VaR is not a coherent risk measure. Questions: 809.1. A credit portfolio contains five identical bonds. Each bond has a face value of $1,000 and default probability of 80... Learning objectives: Define the properties of a coherent risk measure and explain the meaning of each property. Explain why VaR is not a coherent risk measure. Questions: 809.1. A credit... Replies: 0 Views: 79 3. ### P2.T7.801. Principles for the sound management of operational risk: Tools Learning objectives: Describe tools and processes that can be used to identify and assess operational risk. Describe features of an effective control environment and identify specific controls that should be in place to address operational risk. Explain the Basel Committee’s suggestions for managing technology risk and outsourcing risk Questions: 801.1. Principle Six (6) among the Principles... Learning objectives: Describe tools and processes that can be used to identify and assess operational risk. Describe features of an effective control environment and identify specific controls that should be in place to address operational risk. Explain the Basel Committee’s suggestions for managing technology risk and outsourcing risk Questions: 801.1. Principle Six (6) among the Principles... Learning objectives: Describe tools and processes that can be used to identify and assess operational risk. Describe features of an effective control environment and identify specific controls that should be in place to address operational risk. Explain the Basel Committee’s suggestions for... Learning objectives: Describe tools and processes that can be used to identify and assess operational risk. Describe features of an effective control environment and identify specific controls... Replies: 0 Views: 117 4. ### P1.T4.808. The limitations of value at risk (VaR) (Dowd Ch 2) Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. Questions: 808.1. An asset's returns are normally distributed with an expected annual return of 15.0% and volatility of 10.0% per annum; i.e., µ = 0.150 and σ = 0.10. If there are 250 trading days per year, which is nearest to the time horizon at which the... Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. Questions: 808.1. An asset's returns are normally distributed with an expected annual return of 15.0% and volatility of 10.0% per annum; i.e., µ = 0.150 and σ = 0.10. If there are 250 trading days per year, which is nearest to the time horizon at which the... Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. Questions: 808.1. An asset's returns are normally distributed with an expected annual return of 15.0% and volatility of 10.0% per annum; i.e., µ = 0.150 and... Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. Questions: 808.1. An asset's returns are normally... Replies: 0 Views: 123 5. ### P2.T7.800. Principles for the sound management of operational risk: governance. Learning objectives: Describe the three “lines of defense” in the Basel model for operational risk governance. Summarize the fundamental principles of operational risk management as suggested by the Basel Committee. Explain guidelines for strong governance of operational risk, and evaluate the role of the board of directors and senior management in implementing an effective operational risk... Learning objectives: Describe the three “lines of defense” in the Basel model for operational risk governance. Summarize the fundamental principles of operational risk management as suggested by the Basel Committee. Explain guidelines for strong governance of operational risk, and evaluate the role of the board of directors and senior management in implementing an effective operational risk... Learning objectives: Describe the three “lines of defense” in the Basel model for operational risk governance. Summarize the fundamental principles of operational risk management as suggested by the Basel Committee. Explain guidelines for strong governance of operational risk, and evaluate the... Learning objectives: Describe the three “lines of defense” in the Basel model for operational risk governance. Summarize the fundamental principles of operational risk management as suggested by... Replies: 0 Views: 122 6. ### P1.T4.807. Classical value at risk (VaR) (Dowd Ch.2) Hello @SP_SK You do not need to keep track of these daily. Once we have a full set of questions for a reading, these will be compiled into a practice question set and published in the study planner under the appropriate reading. We have taken a small break from posting daily practice questions, but we will resume shortly. Thank you, Nicole Hello @SP_SK You do not need to keep track of these daily. Once we have a full set of questions for a reading, these will be compiled into a practice question set and published in the study planner under the appropriate reading. We have taken a small break from posting daily practice questions, but we will resume shortly. Thank you, Nicole Hello @SP_SK You do not need to keep track of these daily. Once we have a full set of questions for a reading, these will be compiled into a practice question set and published in the study planner under the appropriate reading. We have taken a small break from posting daily practice... Hello @SP_SK You do not need to keep track of these daily. Once we have a full set of questions for a reading, these will be compiled into a practice question set and published in the study... Replies: 2 Views: 237 7. ### P2.T5.111. MBS dollar roll Hello, The answers to our daily practice questions are available to our paid members who purchase a study package. You can view our study packages here: . Thank you, Nicole Hello, The answers to our daily practice questions are available to our paid members who purchase a study package. You can view our study packages here: . Thank you, Nicole Hello, The answers to our daily practice questions are available to our paid members who purchase a study package. You can view our study packages here: . Thank you, Nicole Hello, The answers to our daily practice questions are available to our paid members who purchase a study package. You can view our study packages here: . Thank you, Nicole Replies: 2 Views: 3,985 8. ### L1.T4.14. Yield to maturity (YTM) @flex I recently recorded youtube videos that review yield to maturity concept, hopefully this is is helpful (my point #3 mentions that YTM is complex average of the spot rates, which implies that it must be bound by the min/max spot rates): ... it is part of the a playlist ... hopefully this may be helpful @flex I recently recorded youtube videos that review yield to maturity concept, hopefully this is is helpful (my point #3 mentions that YTM is complex average of the spot rates, which implies that it must be bound by the min/max spot rates): ... it is part of the a playlist ... hopefully this may be helpful @flex I recently recorded youtube videos that review yield to maturity concept, hopefully this is is helpful (my point #3 mentions that YTM is complex average of the spot rates, which implies that it must be bound by the min/max spot rates): ... it is part of the a playlist ... hopefully this... @flex I recently recorded youtube videos that review yield to maturity concept, hopefully this is is helpful (my point #3 mentions that YTM is complex average of the spot rates, which implies that... Replies: 13 Views: 2,411 9. ### P2.T7.412. Basel III operational risk, continued Hello @pawanfrm The answers and in-depth explanations to our daily practice questions are only available to paid members who purchase one of our FRM study packages. These questions are part of our paid practice question sets in the study planner. You can view all of the study packages that we offer here: . Thank you, Nicole Hello @pawanfrm The answers and in-depth explanations to our daily practice questions are only available to paid members who purchase one of our FRM study packages. These questions are part of our paid practice question sets in the study planner. You can view all of the study packages that we offer here: . Thank you, Nicole Hello @pawanfrm The answers and in-depth explanations to our daily practice questions are only available to paid members who purchase one of our FRM study packages. These questions are part of our paid practice question sets in the study planner. You can view all of the study packages that we... Hello @pawanfrm The answers and in-depth explanations to our daily practice questions are only available to paid members who purchase one of our FRM study packages. These questions are part of... Replies: 4 Views: 875 10. ### P1.T2.509. Box-Pierce and Ljung-Box Q-statistics Hello @kbaradzina Thank you for using Bionic Turtle! The answers to these questions are accessed by clicking on the "Answers here: In forum" link at the end of the original post above. However, the answers and explanations are only available to paid members, as they are part of our FRM study packages. You can view all of our study packages here on our Features & Pricing page: . Each of our... Hello @kbaradzina Thank you for using Bionic Turtle! The answers to these questions are accessed by clicking on the "Answers here: In forum" link at the end of the original post above. However, the answers and explanations are only available to paid members, as they are part of our FRM study packages. You can view all of our study packages here on our Features & Pricing page: . Each of our... Hello @kbaradzina Thank you for using Bionic Turtle! The answers to these questions are accessed by clicking on the "Answers here: In forum" link at the end of the original post above. However, the answers and explanations are only available to paid members, as they are part of our FRM study... Hello @kbaradzina Thank you for using Bionic Turtle! The answers to these questions are accessed by clicking on the "Answers here: In forum" link at the end of the original post above. However,... Replies: 2 Views: 1,361 11. ### P2.T5.504. Rank correlations: Spearman's and Kendall's Hi Yes, thank you for catching my mistake. Fixed above. (tagged for non-urgent revision) Hi Yes, thank you for catching my mistake. Fixed above. (tagged for non-urgent revision) Hi Yes, thank you for catching my mistake. Fixed above. (tagged for non-urgent revision) Hi Yes, thank you for catching my mistake. Fixed above. (tagged for non-urgent revision) Replies: 2 Views: 1,798 12. ### P2.T9.807. The role of culture in the financial industry (Lo) Learning objectives: Explain how different factors can influence the culture of a corporation in both positive and negative ways. Examine the role of culture in the context of financial risk management. Describe the framework for analyzing culture in the context of financial practices and institutions. Analyze the importance of culture and a framework that can be used to change or improve a... Learning objectives: Explain how different factors can influence the culture of a corporation in both positive and negative ways. Examine the role of culture in the context of financial risk management. Describe the framework for analyzing culture in the context of financial practices and institutions. Analyze the importance of culture and a framework that can be used to change or improve a... Learning objectives: Explain how different factors can influence the culture of a corporation in both positive and negative ways. Examine the role of culture in the context of financial risk management. Describe the framework for analyzing culture in the context of financial practices and... Learning objectives: Explain how different factors can influence the culture of a corporation in both positive and negative ways. Examine the role of culture in the context of financial risk... Replies: 0 Views: 218 13. ### P1.T4.806. Putting value at risk (VaR) to work (Allen Ch.3) Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing VaR, and identify strengths and weaknesses of each approach. Describe the implications of correlation... Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing VaR, and identify strengths and weaknesses of each approach. Describe the implications of correlation... Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing... Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing... Replies: 0 Views: 376 14. ### P2.T9.806. FinTech credit markets Learning objectives: Describe how FinTech credit markets are likely to develop and how they will affect the nature of credit provision and the traditional banking sector. Analyze the functioning of FinTech credit markets and activities, and assess the potential microfinancial benefits and risks of these activities. Examine the implications for financial stability in the event that FinTech... Learning objectives: Describe how FinTech credit markets are likely to develop and how they will affect the nature of credit provision and the traditional banking sector. Analyze the functioning of FinTech credit markets and activities, and assess the potential microfinancial benefits and risks of these activities. Examine the implications for financial stability in the event that FinTech... Learning objectives: Describe how FinTech credit markets are likely to develop and how they will affect the nature of credit provision and the traditional banking sector. Analyze the functioning of FinTech credit markets and activities, and assess the potential microfinancial benefits and risks... Learning objectives: Describe how FinTech credit markets are likely to develop and how they will affect the nature of credit provision and the traditional banking sector. Analyze the functioning... Replies: 0 Views: 286 15. ### P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen) Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's$1.0 million bond portfolio contains the following two long bond positions: 50% invested in a zero-coupon bond with 5.0 years to maturity,...
Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's $1.0 million bond portfolio contains the following two long bond positions: 50% invested in a zero-coupon bond with 5.0 years to maturity,... Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's$1.0 million bond portfolio contains...
Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for...
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261
16. ### P2.T9.805. The bank/capital markets nexus goes global (Song Shin)

Learning objectives: Describe the links between banks and capital markets. Explain the effects of forced deleveraging and the failure of covered interest rate parity. Discuss the US dollar’s role as the measure of the appetite for leverage. Describe the implications of a stronger US dollar on financial stability and the real economy Questions: 805.1. According to Hyun Song Shin, which of the...
Learning objectives: Describe the links between banks and capital markets. Explain the effects of forced deleveraging and the failure of covered interest rate parity. Discuss the US dollar’s role as the measure of the appetite for leverage. Describe the implications of a stronger US dollar on financial stability and the real economy Questions: 805.1. According to Hyun Song Shin, which of the...
Learning objectives: Describe the links between banks and capital markets. Explain the effects of forced deleveraging and the failure of covered interest rate parity. Discuss the US dollar’s role as the measure of the appetite for leverage. Describe the implications of a stronger US dollar on...
Learning objectives: Describe the links between banks and capital markets. Explain the effects of forced deleveraging and the failure of covered interest rate parity. Discuss the US dollar’s role...
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0
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260
17. ### P1.T4.804. Value at risk (VaR) estimation approaches (Allen)

Learning objectives: Evaluate the various approaches for estimating VaR. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility ... Explain long horizon volatility/VaR and the process of mean reversion according to an AR(1) model. Calculate conditional volatility with and without mean reversion. Describe the impact of mean reversion on...
Learning objectives: Evaluate the various approaches for estimating VaR. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility ... Explain long horizon volatility/VaR and the process of mean reversion according to an AR(1) model. Calculate conditional volatility with and without mean reversion. Describe the impact of mean reversion on...
Learning objectives: Evaluate the various approaches for estimating VaR. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility ... Explain long horizon volatility/VaR and the process of mean reversion according to an AR(1) model. Calculate...
Learning objectives: Evaluate the various approaches for estimating VaR. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility ... Explain...
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0
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247
18. ### P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)

OMG do not know why i was changing PV and FV... you just found my huge mistake...thanks!
OMG do not know why i was changing PV and FV... you just found my huge mistake...thanks!
OMG do not know why i was changing PV and FV... you just found my huge mistake...thanks!
OMG do not know why i was changing PV and FV... you just found my huge mistake...thanks!
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14
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3,265
19. ### P2.T9.804. Central clearing and risk transformation (Cont)

Learning objectives: Examine how the clearing of over-the-counter transactions through central counterparties has affected risks in the financial system. Assess whether central clearing has enhanced financial stability and reduced systemic risk. Describe the transformation of counterparty risk into liquidity risk. Explain how liquidity of clearing members and liquidity resources of CCPs affect...
Learning objectives: Examine how the clearing of over-the-counter transactions through central counterparties has affected risks in the financial system. Assess whether central clearing has enhanced financial stability and reduced systemic risk. Describe the transformation of counterparty risk into liquidity risk. Explain how liquidity of clearing members and liquidity resources of CCPs affect...
Learning objectives: Examine how the clearing of over-the-counter transactions through central counterparties has affected risks in the financial system. Assess whether central clearing has enhanced financial stability and reduced systemic risk. Describe the transformation of counterparty risk...
Learning objectives: Examine how the clearing of over-the-counter transactions through central counterparties has affected risks in the financial system. Assess whether central clearing has...
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0
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256
20. ### P1.T4.803. Quantifying volatility in value at risk (VaR) models (Allen)

Learning objectives: Explain how asset return distributions tend to deviate from the normal distribution. Explain reasons for fat tails in a return distribution and describe their implications. Distinguish between conditional and unconditional distributions. Describe the implications of regime switching on quantifying volatility. Questions: 803.1. Peter the Risk Analyst has collected one...
Learning objectives: Explain how asset return distributions tend to deviate from the normal distribution. Explain reasons for fat tails in a return distribution and describe their implications. Distinguish between conditional and unconditional distributions. Describe the implications of regime switching on quantifying volatility. Questions: 803.1. Peter the Risk Analyst has collected one...
Learning objectives: Explain how asset return distributions tend to deviate from the normal distribution. Explain reasons for fat tails in a return distribution and describe their implications. Distinguish between conditional and unconditional distributions. Describe the implications of regime...
Learning objectives: Explain how asset return distributions tend to deviate from the normal distribution. Explain reasons for fat tails in a return distribution and describe their implications....
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0
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297
21. ### P2.T9.803. Machine learning (van Liebergen)

Learning objectives: Describe the process of machine learning and compare machine learning approaches. Describe the application of machine learning approaches within the financial services sector and the types of problems to which they can be applied. Analyze the application of machine learning in three use cases: Credit risk and revenue modeling; Fraud; Surveillance of conduct and market...
Learning objectives: Describe the process of machine learning and compare machine learning approaches. Describe the application of machine learning approaches within the financial services sector and the types of problems to which they can be applied. Analyze the application of machine learning in three use cases: Credit risk and revenue modeling; Fraud; Surveillance of conduct and market...
Learning objectives: Describe the process of machine learning and compare machine learning approaches. Describe the application of machine learning approaches within the financial services sector and the types of problems to which they can be applied. Analyze the application of machine learning...
Learning objectives: Describe the process of machine learning and compare machine learning approaches. Describe the application of machine learning approaches within the financial services sector...
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0
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326
22. ### P1.T4.802. Stress Testing and Other Risk Management Tools (Siddique)

Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models in stress tests. Explain the importance of stressed inputs and their importance in stressed VaR. Identify the advantages and disadvantages of stressed risk metrics. Questions: 802.1. Siddique and...
Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models in stress tests. Explain the importance of stressed inputs and their importance in stressed VaR. Identify the advantages and disadvantages of stressed risk metrics. Questions: 802.1. Siddique and...
Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models in stress tests. Explain the importance of stressed inputs and their importance in stressed VaR....
Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models...
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0
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306
23. ### P2.T7.705. Extreme value theory (EVT)

Thank you for your attention to detail!
Thank you for your attention to detail!
Thank you for your attention to detail!
Thank you for your attention to detail!
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24. ### P2.T9.802. Big Data: New Tricks for Econometrics by Hal Varian

Learning objectives: Describe the issues unique to big datasets. Explain and assess different tools and techniques for manipulating and analyzing big data. Examine the areas for collaboration between econometrics and machine learning. Questions: 802.1. Below is Hal Varian's simple classification tree that predicts Titanic survivors (Figure 1 in the reading). According to the tree, each of...
Learning objectives: Describe the issues unique to big datasets. Explain and assess different tools and techniques for manipulating and analyzing big data. Examine the areas for collaboration between econometrics and machine learning. Questions: 802.1. Below is Hal Varian's simple classification tree that predicts Titanic survivors (Figure 1 in the reading). According to the tree, each of...
Learning objectives: Describe the issues unique to big datasets. Explain and assess different tools and techniques for manipulating and analyzing big data. Examine the areas for collaboration between econometrics and machine learning. Questions: 802.1. Below is Hal Varian's simple...
Learning objectives: Describe the issues unique to big datasets. Explain and assess different tools and techniques for manipulating and analyzing big data. Examine the areas for collaboration...
Replies:
0
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232
25. ### P1.T4.801. Stress testing validation and the role of internal audit (Siddique)

Learning objectives: Identify areas of validation and independent review for stress tests that require attention from a governance perspective. Describe the important role of the internal audit in stress testing governance and control. Identify key aspects of stress testing governance, including stress-testing coverage, stress-testing types and approaches, and capital and liquidity stress...
Learning objectives: Identify areas of validation and independent review for stress tests that require attention from a governance perspective. Describe the important role of the internal audit in stress testing governance and control. Identify key aspects of stress testing governance, including stress-testing coverage, stress-testing types and approaches, and capital and liquidity stress...
Learning objectives: Identify areas of validation and independent review for stress tests that require attention from a governance perspective. Describe the important role of the internal audit in stress testing governance and control. Identify key aspects of stress testing governance, including...
Learning objectives: Identify areas of validation and independent review for stress tests that require attention from a governance perspective. Describe the important role of the internal audit in...
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0
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217
26. ### P1.T4.800. Stress testing governance (Siddique)

Hello @Moz Sorry I had assumed since you were asking for the answers that you weren't able to view them. The answers are provided at the end of the original post after the questions. There is a link that says, "Answers here in forum". If you click on "In forum" that brings you to the paid section of the forum, where the answers and explanations are provided. If you cannot view that link,...
Hello @Moz Sorry I had assumed since you were asking for the answers that you weren't able to view them. The answers are provided at the end of the original post after the questions. There is a link that says, "Answers here in forum". If you click on "In forum" that brings you to the paid section of the forum, where the answers and explanations are provided. If you cannot view that link,...
Hello @Moz Sorry I had assumed since you were asking for the answers that you weren't able to view them. The answers are provided at the end of the original post after the questions. There is a link that says, "Answers here in forum". If you click on "In forum" that brings you to the paid...
Hello @Moz Sorry I had assumed since you were asking for the answers that you weren't able to view them. The answers are provided at the end of the original post after the questions. There is a...
Replies:
4
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227
27. ### P2.T9.801 Implementation & impact of the new expected credit loss models in IFRS9(IASB) & GAAP(FASB)

Learning objectives: Assess the progress banks have made in the implementation of the standards. Examine the impact on the financial system posed by the standards. Questions: 801.1. With respect to the new credit loss standards, each of the following is TRUE about the DIFFERENCE between the Basel capital models (per BCBS Guidance in December 2015) and the IASB and FASB expected credit loss...
Learning objectives: Assess the progress banks have made in the implementation of the standards. Examine the impact on the financial system posed by the standards. Questions: 801.1. With respect to the new credit loss standards, each of the following is TRUE about the DIFFERENCE between the Basel capital models (per BCBS Guidance in December 2015) and the IASB and FASB expected credit loss...
Learning objectives: Assess the progress banks have made in the implementation of the standards. Examine the impact on the financial system posed by the standards. Questions: 801.1. With respect to the new credit loss standards, each of the following is TRUE about the DIFFERENCE between the...
Learning objectives: Assess the progress banks have made in the implementation of the standards. Examine the impact on the financial system posed by the standards. Questions: 801.1. With respect...
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0
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141
28. ### P2.T9.800. New expected credit loss models in IFRS 9 (IASB) and GAAP (FASB CECL) (Cohen)

Learning objectives: Describe the reasons to provision for expected credit losses. Compare and contrast the key aspects of the IASB (IFRS 9) and FASB (CECL) standards. Questions: 800.1. According to Cohen and Edwards, which of the following is the BEST, good reason (among the choices given) to provision for expected losses? a. Provisions are necessary because financial assets (e.g., loans)...
Learning objectives: Describe the reasons to provision for expected credit losses. Compare and contrast the key aspects of the IASB (IFRS 9) and FASB (CECL) standards. Questions: 800.1. According to Cohen and Edwards, which of the following is the BEST, good reason (among the choices given) to provision for expected losses? a. Provisions are necessary because financial assets (e.g., loans)...
Learning objectives: Describe the reasons to provision for expected credit losses. Compare and contrast the key aspects of the IASB (IFRS 9) and FASB (CECL) standards. Questions: 800.1. According to Cohen and Edwards, which of the following is the BEST, good reason (among the choices given) to...
Learning objectives: Describe the reasons to provision for expected credit losses. Compare and contrast the key aspects of the IASB (IFRS 9) and FASB (CECL) standards. Questions: 800.1....
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0
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224
29. ### P1.T2.719. One- versus two-tailed hypothesis tests (Miller Ch.7)

Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of exceedances. Questions: 719.1. Barbara observes a sample with the following statistics: mean of X and standard deviation of Y....
Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of exceedances. Questions: 719.1. Barbara observes a sample with the following statistics: mean of X and standard deviation of Y....
Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of...
Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence....
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0
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198
30. ### P2.T5.717. Value at risk (VaR) mapping (Jorion Ch.11)

Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following two-bond portfolio: We assume that specific risk is negligible and that the volatility of changes in market yields is 50 basis points. Under these conditions, which is nearest to the volatility of...
Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following two-bond portfolio: We assume that specific risk is negligible and that the volatility of changes in market yields is 50 basis points. Under these conditions, which is nearest to the volatility of...
Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following two-bond portfolio: We assume that specific risk is negligible and that the volatility of...
Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following...
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