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| Section | Weight | Objectives |
|---|---|---|
| Risk Management Frameworks | 20% | - Risk Governance & Culture - Enterprise Risk Management Principles - Risk Measurement Methodologies - Regulatory Frameworks & Basel Accords |
| ALM & FTP | 10% | - Interest Rate Risk in the Banking Book - Funds Transfer Pricing Methodology & Application - Asset-Liability Management Principles - Liquidity Risk Management |
| Market Risk | 15% | - Regulatory Capital for Market Risk - Market Risk Factors & Drivers - Value-at-Risk (VaR) & Stress Testing - Interest Rate, Equity, FX & Commodity Risk |
| Credit Risk | 20% | - Credit Risk Modeling & Capital Calculation - Loss Given Default & Credit Valuation Adjustment - Credit Risk Concepts - Exposure & Probability of Default |
| Counterparty Risk | 15% | - Counterparty Credit Risk Fundamentals - Potential Future Exposure - Credit Value Adjustment (CVA) & Wrong-way Risk - Netting, Collateral & Margining |
| Operational Risk | 20% | - Control & Mitigation Techniques - Definition & Scope - Capital Requirements & Advanced Measurement Approaches - Risk Identification & Assessment |
Which of the following statements is true?
I. It is sufficient to ensure that a parent entity has sufficient excess liquidity to cover a liquidity shortfall for a subsidiary.
II. If a parent entity has a shortfall of liquidity, it can always rely upon any excess liquidity that its foreign subsidiaries might have.
III. Wholesale funding sources for a bank refer to stable sources of funding provided by the central bank.
IV. Funding diversification refers to diversification of both funding sources and funding tenors.
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In setting confidence levels for VaR estimates for internal limit setting, it is generally desirable:
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Which of the following statements are true with respect to stress testing:
I. Stress testing results in a dollar estimate of losses
II. The results of stress testing can replace VaR as a measure of risk as they are better grounded in reality III. Stress testing provides an estimate of losses at a desired level of confidence IV. Stress testing based on factor shocks can allow modeling extreme events that have not occurred in the past
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Which of the following statements are true:
I. Stress tests should consider simultaneous pressures in funding and asset markets, and the impact of a reduction in liquidity II. Judging the effectiveness of risk mitigation techniques is not a part of stress testing III. A reverse stress test is useful for discovering hidden vulnerabilities and inconsistencies in hedging strategies IV. Reputational risk, which is explicitly excluded from the definition of operational risk under Basel II, should still be considered as part of stress tests.
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Which of the following is a most complete measure of the liquidity gap facing a firm?
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