NO.1 How could a bank's hedging activities with futures contracts expose it to liquidity risk?
A. The bank could get exposed to liquidity risk since futures trade on an exchange.
B. The futures hedge may not work due to the widening of basis which could result in a loss for the
bank.
C. Since futures require margins which are settled every day, the bank could find itself scrambling for
funds.
D. Prices may move such that a loss results on the hedge.
Answer: C
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NO.2 Which one of the four following non-statistical risk measures are typically not used to quantify
market risk?
A. Convexity
B. Basis point values
C. Option sensitivities
D. Net closed positions
Answer: D
NO.3 To estimate the responsiveness of a particular equity portfolio to the overall market, a trader
should use the portfolio's
A. CVaR
B. VaR
C. Beta
D. Alpha
Answer: C
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NO.4 Which one of the following four regulatory drivers for operational risk management includes
risk and control requirements for financial statements in the United States?
A. The Sarbanes-Oxley Act
B. Basel II Accord
C. The Markets in Financial Instruments Directive
D. Solvency II
Answer: A
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NO.5 Which of the following are conclusions that could be drawn from the shape of the statistical
distribution of losses that a bank might incur over a future time period?
I. In most years a bank would look more profitable than it will be on average.
II. Most of the time a sufficiently well capitalized bank will appear over-capitalized.
III. Bad years do not come along very often, but when they do they lead to enormous losses.
A. I, II
B. I, II, III
C. II, III
D. I, III
Answer: B
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NO.6 Which one of the following four statements regarding counterparty credit risk is INCORRECT?
A. The exposure at default can be negatively correlated to probability of default.
B. Counterparty credit risk refers to the inability to realize gains in a contract with a counterparty due
to its default.
C. The exposure at default is variable due to fluctuations in swap valuations.
D. Dynamic collateral provisions often increase counterparty risk considerably.
Answer: C
NO.7 Which one of the following changes would typically increase the price of a fixed income
instrument, such as a bond?
A. Increase in demand for goods and services.
B. Increase in time to maturity.
C. Increase in risk premium.
D. Decrease in inflation rates in a country.
Answer: D
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NO.8 A credit risk analyst is evaluating factors that quantify credit risk exposures. The risk that the
borrower would fail to make full and timely repayments of its financial obligations over a given time
horizon typically refers to:
A. Loss given default.
B. Duration of default.
C. Exposure at default.
D. Probability of default.
Answer: D
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Exam Code: ICBRRExam Name: International Certificate in Banking Risk and Regulation (ICBRR)
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ICBRR Exam Questions Total Q&A: 342 Questions and Answers
Last Update: 11-14,2015
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