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| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Case Studies | 7% | |
| Topic 2: Credit Risk Modeling and Portfolio Management | 20% | - Modern Credit Risk Modeling - Credit Portfolio Management |
| Topic 3: Counterparty Risk and Risk Mitigation | 13% | - Basics of Counterparty Risk - Risk Mitigation Techniques |
| Topic 4: Credit Derivatives and Securitization | 13% | - Securitization Processes and Instruments - Credit Derivatives |
| Topic 5: Credit Valuation Adjustment (CVA) and Related Topics | 17% | - XVA and SA-CCR - Credit Valuation Adjustment (CVA) - Managing Counterparty Risk and CVA |
| Topic 6: Classic Credit Products, Life Cycle and Credit Risk Methodology | 30% | - Classic Credit Products - Classic Credit Risk Methodology - Introduction to Credit Risk |
If the annual variance for a portfolio is 0.0256, what is the daily volatility assuming there are 250 days in a year.
Correct Answer: B 🗳️
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Which of the following statements are true:
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I by increasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks
Correct Answer: D 🗳️
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If two bonds with identical credit ratings, coupon and maturity but from different issuers trade at different spreads to treasury rates, which of the following is a possible explanation:
I. The bonds differ in liquidity
II. Events have happened that have changed investor perceptions but these are not yet reflected in the ratings III. The bonds carry different market risk IV. The bonds differ in their convexity
Correct Answer: B 🗳️
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A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?
Correct Answer: B 🗳️
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Which of the following will be a loss not covered by operational risk as defined under Basel II?
Correct Answer: C 🗳️
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