9/7/2019 Assignment: Test: 07-09-2019

National Institute of
Bank Management

Dashboard  My courses  RSK MGMT  Assignment  Assignment: Test: 07-09-2019

Started on Saturday, 7 September 2019, 2:36 PM

State Finished
Completed on Saturday, 7 September 2019, 3:10 PM
Time taken 33 mins 29 secs
Grade 34.00 out of 40.00 (85%)

Question 1 Correct Mark 2.00 out of 2.00

Convergence trades, as in case of LTCM, can succeed when long and short positions are

Select one:

a. Highly positively correlated

b. Highly negatively correlated

c. Not correlated at all.

d. Risk-free instruments.

Your answer is correct.

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Question 2 Incorrect Mark 0.00 out of 2.00

In convergence trades

Select one:

a. The long position is less risky, the short position is riskier.

b. The long position is more risky, the short position is less risky.

c. The maturities of long and short bonds are very di erent.

d. The coupons on long and short bonds are very di erent.

Your answer is incorrect.

Question 3 Correct Mark 2.00 out of 2.00

After the Russian crisis, the yields on liquid and illiquid bonds became

Select one:

a. Positively correlated

b. Uncorrelated.

c. Negatively correlated.

d. Indeterminate.

Your answer is correct.

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Question 4 Correct Mark 2.00 out of 2.00

In order to increase its return on capital, LTCM

Select one:

a. Issued Equity shares

b. Issued Tier II bonds.

c. Issued Tier I bonds.

d. Paid back capital to investors

Your answer is correct.

Question 5 Correct Mark 2.00 out of 2.00

After the Russian crisis, LTCM’s leverage

Select one:

a. Decreased

b. Increased

c. Remained unchanged

d. Became indeterminate.

Your answer is correct.

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Question 6 Correct Mark 2.00 out of 2.00

The Fed Reserve bailed out LTCM in order to prevent

Select one:

a. Market Risk

b. Credit Risk

c. Operational Risk

d. Systemic Risk.

Your answer is correct.

Question 7 Correct Mark 2.00 out of 2.00

The default on Russian debt and the collapse of the rouble exposed LTCM to

Select one:

a. Credit Risk and Market Risk

b. Strategic Risk and Reputational Risk.

c. Credit Risk and Operational Risk.

d. Market Risk and Operational Risk.

Your answer is correct.

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Question 8 Correct Mark 2.00 out of 2.00

The prices of on-the-run treasuries are

Select one:

a. The same as that of as o -the-run treasuries

b. Less than that of o -the-rum treasuries

c. More than that of o -the-run treasuries

d. Not related to that of o -the-run treasuries.

Your answer is correct.

Question 9 Correct Mark 2.00 out of 2.00

Due to its focus on convergence trades, LTCM’s assets were subject to

Select one:

a. Liquidity risk.

b. Interest rate risk

c. Systemic risk.

d. Operational Risk.

Your answer is correct.

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Question 10 Correct Mark 2.00 out of 2.00

LTCM funded its asset side primarily with

Select one:

a. Equity shares.

b. Reserves and surplus.

c. Borrowed funds.

d. Debt-equity swaps.

Your answer is correct.

Question 11 Correct Mark 2.00 out of 2.00

Assessment of Credit Concentration Risks is part of Basel

Select one:

a. Pillar 1

b. Pillar 2

c. Pillar 3

d. Pillar 4

Your answer is correct.

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Question 12 Correct Mark 2.00 out of 2.00

Relative C-VaR is :

Select one:

a. CVaR/EL

b. CVaR/Total VaR

c. CVaR/Exposures

d. CVaR/ΣExposures

Your answer is correct.

Question 13 Correct Mark 2.00 out of 2.00

Concentration index CI>1 when

Select one:

a. CVaR<ABSL

b. CVaR=ABSL

c. CVaR>ABSL

d. CVaR=0

Your answer is correct.

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Question 14 Correct Mark 2.00 out of 2.00

ABSL is

Select one:

a. Portfolio CVaR

b. Standalone CVaR

c. Aggregation of standalone CVaR

d. Absolute Exposure

Your answer is correct.

Question 15 Incorrect Mark 0.00 out of 2.00

Figure 1 reveals that relative CVaR is

Select one:

a. Always high for small exposure

b. Identi es concentration to new partner even at large exposure

c. Detects good candidates for investment

d. Signi cantly low at bigger loan segment

Your answer is incorrect.

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Question 16 Correct Mark 2.00 out of 2.00

HHI index is measure of concentration

Select one:

a. Complicated but less e ective

b. Complicated but more powerful

c. Simple but e ective for directed action

d. Simple but less e ective for directed action

Your answer is correct.

Question 17 Incorrect Mark 0.00 out of 2.00

From Figure 2, Exposure & CVaR by industry, which industry has signi cant concentration?

Select one:

a. Telecom

b. Utilities

c. Health care

d. Energy

Your answer is incorrect.

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Question 18 Correct Mark 2.00 out of 2.00

By comparing Table 4 & Table 5 which borrower has created highest level of concentration risk?

Select one:

a. Barclays PLC

b. Citigroup

c. HSBC Holdings & PLC

d. Husky Energy

Your answer is correct.

Question 19 Correct Mark 2.00 out of 2.00

What is your opinion – whether limit need to be raised when

Select one:

a. CI > 1

b. CI =1

c. CI < 1

d. CI--alfa

Your answer is correct.

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Question 20 Correct Mark 2.00 out of 2.00

Which one of the following measure of concentration index is most risk sensitive?

Select one:

a. HHI

b. Four rm concentration

c. Standalone VaR

d. Relative VaR

Your answer is correct.

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