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Viewing page 15 out of 15 pages
Viewing questions 211-225 out of questions
Questions # 211:

Prudential regulation of banking book liquidity risk is dealt with by the Basel Committee (Basel II / Basel III) in the context of:

Options:

A.

capital adequacy regulations in Pillar 1

B.

market risk and Tier 3 capital elements

C.

internal management procedures subject to supervisory review in Pillar 2

D.

market discipline, disclosure and transparency in Pillar 3

Expert Solution
Questions # 212:

Repo is said to have “double indemnity” due to the creditworthiness of the counterparty and:

Options:

A.

A written legal agreement between the parties

B.

The oversight of the transaction by the custodian of the collateral

C.

The creditworthiness of the collateral

D.

The right of close-out and set-off in an event of default

Expert Solution
Questions # 213:

In which type of repo is “double dipping” a risk?

Options:

A.

Delivery repo

B.

HIC repo

C.

To-party repo

D.

“Double dipping” is never a risk in any type of repo

Expert Solution
Questions # 214:

You are quoted the following market rates:

Spot AUD/CAD 1.0600

12M (360-day) AUD 3.40%

12M (360-day) CAD 1.55%

What are the 12-month AUD/CAD forward points?

Options:

A.

+190

B.

-193

C.

-192

D.

-190

Expert Solution
Questions # 215:

The “spot basis” of a 2 against 4 months EUR/USD forward/forward swap is:

Options:

A.

usually the current spot EUR/USD mid-market rate

B.

commonly the prevailing 4-month forward EUR/USD mid-rate

C.

always the forward EUR/USD bid rate of the first swap leg

D.

generally the prevailing 2-month forward EUR/USD mid-rate

Expert Solution
Questions # 216:

A forward-forward lender has an exposure to the risk of:

Options:

A.

Higher interest rates

B.

Lower interest rates

C.

Flattening yield curve

D.

Parallel shift downwards in the yield curve

Expert Solution
Questions # 217:

Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

Options:

A.

1 minus recovery rate, probability of default and exposure at default

B.

exposure at origination, exposure at default and loss given default

C.

loss given default, 1 minus recovery rate and exposure at default

D.

exposure at origination, recovery rates and probability of default

Expert Solution
Questions # 218:

An option premium is normally a positive function of:

Options:

A.

the traded volume

B.

the historical volatility of the price of the underlying commodity

C.

the style (European or American) of the option

D.

the implied volatility of the price of the underlying

Expert Solution
Questions # 219:

Today, you sold 10 December EURODOLLAR futures contracts at 99.50. The closing price is fixed by the exchange at 99.375. What variation margin will be due?

Options:

A.

You will have to pay USD 312.50

B.

You will receive USD 312.50

C.

You will have to pay USD 3,125.00

D.

You will receive USD 3,125.00

Expert Solution
Questions # 220:

What is the ISO code for the Argentine peso?

Options:

A.

ARP

B.

ARS

C.

ARA

D.

AED

Expert Solution
Questions # 221:

For which country’s currency is ZAR the ISO code?

Options:

A.

Saudi Arabia

B.

South Africa

C.

Zimbabwe

D.

Zambia

Expert Solution
Questions # 222:

What is interest rate immunization in the context of bank gap management?

Options:

A.

the strategy of holding more interest rate sensitive assets than interest rate sensitive liabilities

B.

the strategy of holding fewer interest rate sensitive assets than interest rate sensitive liabilities

C.

reducing the size of the balance sheet

D.

structuring a bank’s portfolio so that its net interest revenue and/or the market value of its portfolio will not be adversely affected by changes in interest rates

Expert Solution
Viewing page 15 out of 15 pages
Viewing questions 211-225 out of questions