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Which of the following causes for exceptions established by the Basel Committee would be considered more serious so that a penalty should apply?

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I. Model accuracy needs improvement.

II. Intraday trading activity.

III. Basic integrity of the model is lacking.

A) I and III.

B) I only.

C) II only.

D) II and III.

答案：A

解析：●Where the basic integrity of the model is lacking or model accuracy needs improvement, the penalty should apply.

●Where there is intraday trading activity, the penalty should be considered.

In the presence of fat tails in the distribution of returns for a linear portfolio, VaR based on the delta-normal method would:

A) Be the same as the true VaR.

B) Underestimate the true VaR.

C) Overestimate the true VaR.

D) Cannot be determined from the information provided.扫描二维码咨询详情

答案：B

解析：The VAR would be underestimated because of the greater frequency of losses in the tails of the distribution.

Which of the following methods of mapping portfolios of fixed income securities is the most precise?

A) Convexity mapping.

B) Duration mapping.

C) Cash flow mapping.

D) Principal mapping.

答案：C

解析：Cash flow mapping is the most precise method of the three because we map the present value of the cash flows (face amount discounted at the spot rate for that maturity) onto the risk factors for zero coupon bonds of the same maturities and include the inter-maturity correlations.

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