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Last Updated: Sep 01, 2026
No. of Questions: 359 Questions & Answers with Testing Engine
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| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Market Risk | 15% | - Regulatory Capital for Market Risk - Market Risk Factors & Drivers - Value-at-Risk (VaR) & Stress Testing - Interest Rate, Equity, FX & Commodity Risk |
| Topic 2: Counterparty Risk | 15% | - Counterparty Credit Risk Fundamentals - Netting, Collateral & Margining - Potential Future Exposure - Credit Value Adjustment (CVA) & Wrong-way Risk |
| Topic 3: Credit Risk | 20% | - Credit Risk Concepts - Credit Risk Modeling & Capital Calculation - Loss Given Default & Credit Valuation Adjustment - Exposure & Probability of Default |
| Topic 4: Risk Management Frameworks | 20% | - Risk Measurement Methodologies - Enterprise Risk Management Principles - Regulatory Frameworks & Basel Accords - Risk Governance & Culture |
| Topic 5: ALM & FTP | 10% | - Asset-Liability Management Principles - Interest Rate Risk in the Banking Book - Liquidity Risk Management - Funds Transfer Pricing Methodology & Application |
| Topic 6: Operational Risk | 20% | - Risk Identification & Assessment - Definition & Scope - Capital Requirements & Advanced Measurement Approaches - Control & Mitigation Techniques |
Question 1
If the odds of default are 1:5, what is the probability of default?
A. 50.00%
B. 16.67%
C. 20.00%
D. 12.00%
Question 2
A bank prices retail credit loans based on median default rates. Over the long run, it can expect:
A. Correct pricing of risk in the retail credit portfolio
B. A reduction in the rate of defaults
C. Overestimation of risk and overpricing, leading to loss of market share
D. Underestimation and therefore underpricing of risk in it retail portfolio
Question 3
Which of the following statements is true:
I. Confidence levels for economic capital calculations are driven by desired credit ratings II. Loss distributions for operational risk are affected more by the severity distribution than the frequency distribution III. The Advanced Measurement Approach (AMA) referred to in the Basel II standard is a type of a Loss Distribution Approach (LDA) IV. The loss distribution for operational risk under the LDA (Loss Distribution Approach) is estimated by separately estimating the frequency and severity distributions.
A. I, III and IV
B. I, II and IV
C. III and IV
D. I and II
Question 4
The principle underlying the contingent claims approach to measuring credit risk equates the cost of eliminating credit risk for a firm to be equal to:
A. the cost of a call on the firm's assets with a strike equal to the value of the debt
B. the probability of the firm's assets falling below the critical value for default
C. the value of a put on the firm's assets with a strike equal to the value of the debt
D. the market valuation of the firm's equity less the value of its liabilities
Question 5
Which of the following formulae correctly describes Component VaR. (p refers to the portfolio, and i is the i-th constituent of the portfolio. MVaR means Marginal VaR, and other symbols have their usual meanings.)
A. III
B. II
C. I
D. I and II
Solutions:
| Question 1 Answer: B | Question 2 Answer: D | Question 3 Answer: B | Question 4 Answer: C | Question 5 Answer: D |
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