4/16/25, 1:03 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Review Quiz 6 - Results X
Attempt 1 of 1
Written Mar 16, 2025 5:32 PM - Mar 16, 2025 5:53 PM
Attempt Score 106.25 %
Overall Grade (Highest Attempt) 106.25 %
Question 1 points
A bank has the following two currency positions:
e EUR: delta = 690
e GBP: delta = 610
Under the SA for market risk, what is the delta component of this bank's
currency risk?
Note: Your answer must be accurate to within 1.0.
Answer:
123 v
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The appropriate calculations are:
WS(EUR) = Delta(EUR) x .106066
WS(GBP) = Delta(EUR) x .106066
K(EUR) = [WS(EUR)|
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441869&ai=10561835&isInPopup=0&cfql=0&fromQB=0&... 1/8
, 4/16/25, 1:03 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
K(GBP) = |WS(GBP)|
K = sgrt{K(EUR)*2 + K(GBP)*2 + 2 x .60 x WS(EUR) x WS(JPY)}
Question 2 points
A bank has computed the following net exposures to default loss for one of its
buckets:
e Long positions: Exposure = 94,100, Risk-weighted exposure = 16,700
e Short positions: Exposure = 46,400, Risk-weighted exposure = 9,400
Under the SA for market risk, what is the Default Risk Capital requirement for
this bucket?
Note: Your answer must be accurate to within one dollar.
Answer:
10,404
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The appropriate calculations are:
HBR = Long exposure / (Long exposure + Short exposure)
DRC = Risk-weighted long exposure - HBR x Risk-weighted short
exposure
Question 3 points
A bank has computed the following aggregated delta+vega+curvature risk for
each risk class:
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441869&ai=10561835&isInPopup=0&cfql=0&fromQB=0&... 2/8
Review Quiz 6 - Results X
Attempt 1 of 1
Written Mar 16, 2025 5:32 PM - Mar 16, 2025 5:53 PM
Attempt Score 106.25 %
Overall Grade (Highest Attempt) 106.25 %
Question 1 points
A bank has the following two currency positions:
e EUR: delta = 690
e GBP: delta = 610
Under the SA for market risk, what is the delta component of this bank's
currency risk?
Note: Your answer must be accurate to within 1.0.
Answer:
123 v
w Hide question 1 feedback
Feedback
The appropriate calculations are:
WS(EUR) = Delta(EUR) x .106066
WS(GBP) = Delta(EUR) x .106066
K(EUR) = [WS(EUR)|
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441869&ai=10561835&isInPopup=0&cfql=0&fromQB=0&... 1/8
, 4/16/25, 1:03 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
K(GBP) = |WS(GBP)|
K = sgrt{K(EUR)*2 + K(GBP)*2 + 2 x .60 x WS(EUR) x WS(JPY)}
Question 2 points
A bank has computed the following net exposures to default loss for one of its
buckets:
e Long positions: Exposure = 94,100, Risk-weighted exposure = 16,700
e Short positions: Exposure = 46,400, Risk-weighted exposure = 9,400
Under the SA for market risk, what is the Default Risk Capital requirement for
this bucket?
Note: Your answer must be accurate to within one dollar.
Answer:
10,404
w Hide question 2 feedback
Feedback
The appropriate calculations are:
HBR = Long exposure / (Long exposure + Short exposure)
DRC = Risk-weighted long exposure - HBR x Risk-weighted short
exposure
Question 3 points
A bank has computed the following aggregated delta+vega+curvature risk for
each risk class:
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441869&ai=10561835&isInPopup=0&cfql=0&fromQB=0&... 2/8
