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How many of the following statements is most likely correct? BHCs should have risk identification processes that evaluate: I. On- and off-balance sheet positions. II. Risk transfer and/or risk mitigation techniques. III. Changes in institutions, risk profile due to portfolio quality. IV. Reputational risk.

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A) One statement.

B) Two statements.

C) Three statements.

D) Four statements.

答案：D

解析：All of the statements are correct. BHCs should have risk identification processes effectively identifying all risk exposures for assessing capital needs. Reputational risk, like strategic risk and com pliance risk, falls under the category of “other risks” and are more difficult to quantify. Nevertheless, there are a wide range of methods BHCs employ to evaluate other risks.

An important source of model risk is incorrect model specification. Which of the following is not an example of model specification error?

A) Omitting an important risk factor from the model.

B) Assuming that variables are independent when significant correlations exist.

C) Assuming data is from a particular distribution when a more accurate distribution is available.

D) Estimating the model using data from an inappropriate sample period.

答案：D

解析：Using data from an inappropriate sample period is an example of calibration error.

Which of the following scenarios is the best example of a model error?

A) Assuming a non-normal distribution of returns.

B) Assuming perfectly liquid markets.

C) Assuming variable distribution of asset price.

D) Assuming imperfect capital markets.

答案：B

解析： Six common model errors include: (1) assuming constant volatility, (2) assuming a normal distribution of returns, (3) underestimating the number of risk factors, (4) assuming perfect capital markets, (5) assuming adequate liquidity, and (6) misapplying a model.

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