Exam questions
1 Most digital euros are created by?
a. Banks
2 To big too fail case
a. Banking groups cant go bankrupt because it would collapse the economy
b. Government support = moral hazard
3 EL Berekenen
a.
4 VAR berekenen met gegeven LGD en PD
5 Expected shortfall
a. Alternative to VaR
b. Focusing on The average loss in worst case scenarios
c. More clear on extrem risks
6 Why logistic regression?
a. Uitkomst is altijd tussen 0 en 1, terwijl bij een linear model je onder 0 kunt uitkomen
7 Difference between forward en futures
a. Futures Market to market daily
b. Standardized while forward are tailor made
8 Betekenis Power
a. Power values from expected bad to expected good
b. When we analyze the ability to predict, we use the “power” measure
9 100 loans, 100 refinanced, LGD, lower credit risk, PD en LGD berekenen
a.
10 Reinvestment risk
a. The risk that the return on new assets could be lower
11 Bereken reserves met LGD
a.
12 Wat kan je doen met DG (duration gap)
a.
b.
13 Hoe is comm asset margin berkend?
a. Yield assets bank – risk-free assets with similar maturity
14 How to reduce RWA using IRB-A
a.
15 What is the advantage of structured modeling
a. You know WHY a firm goes default
b. Disadvantage = you need equity data
16 IRBF
a. Internal rating based foundations
b. Own PD models but use Basel models for LGD and EaD
17 IRS
a. Interest rate swap
b. Party A pays a fixed rate to party B
c. Party B pays a floating rate to party A
1 Most digital euros are created by?
a. Banks
2 To big too fail case
a. Banking groups cant go bankrupt because it would collapse the economy
b. Government support = moral hazard
3 EL Berekenen
a.
4 VAR berekenen met gegeven LGD en PD
5 Expected shortfall
a. Alternative to VaR
b. Focusing on The average loss in worst case scenarios
c. More clear on extrem risks
6 Why logistic regression?
a. Uitkomst is altijd tussen 0 en 1, terwijl bij een linear model je onder 0 kunt uitkomen
7 Difference between forward en futures
a. Futures Market to market daily
b. Standardized while forward are tailor made
8 Betekenis Power
a. Power values from expected bad to expected good
b. When we analyze the ability to predict, we use the “power” measure
9 100 loans, 100 refinanced, LGD, lower credit risk, PD en LGD berekenen
a.
10 Reinvestment risk
a. The risk that the return on new assets could be lower
11 Bereken reserves met LGD
a.
12 Wat kan je doen met DG (duration gap)
a.
b.
13 Hoe is comm asset margin berkend?
a. Yield assets bank – risk-free assets with similar maturity
14 How to reduce RWA using IRB-A
a.
15 What is the advantage of structured modeling
a. You know WHY a firm goes default
b. Disadvantage = you need equity data
16 IRBF
a. Internal rating based foundations
b. Own PD models but use Basel models for LGD and EaD
17 IRS
a. Interest rate swap
b. Party A pays a fixed rate to party B
c. Party B pays a floating rate to party A
