2010年8月FRM prational risk and current issues practices.pdfVIP

Operational and Integrated Risk Management 1. The following statements about combating model risk are true, except: I. If a position is known to have considerable model risk, a firm can limit its exposure to this source of model risk by imposing a tighter position limit. II. If we always choose the model that takes into account the largest number of real-world factors that affect prices, this will help to reduce the firms exposure to model risk. III. Running regular stress tests or scenario analyses to test the volatility, correlation and liquidity assumptions in models helps reduce model risk. IV. Risk managers should check the traders pricing models, ensuring model calibration is up-to-date and that models are upgraded in line with market best practice, and to ensure that obsolete models are identified and taken out of use. A. None are true B. II only C. I, III, and IV D. I, II, and III 2. The risk of the occurrence of a significant difference between the mark-to-model value of a complex and/or illiquid instrument, and the price at which the same instrument is revealed to have traded in the market is referred to as: A. dynamic risk B. liquidity risk C. model risk D. mark-to-market risk 3. Which one of the following cases or events can be considered as resulting from operational risk? A. A bank reports losses on a diversified portfolio of stocks during the stock market decline. B. The bank becomes embroiled in a high-profile lawsuit with a customer that accuses it of improper selling practices. C. The bank reports the loss of $1.5 billion due to rises in interest rates. D. A U.S. investor makes a loss as t