BFM B - Unit 14 set 1 - Motivational Banker
1. A bank expects fall in the price of a security if it sells it in the market. What is the risk that the bank is facing?

Question 1 of 25

2. An 8-year 8% semi-annual bond has a BPV of Rs. 125. The yield on the bond has increased by 5 basis points. What is the profit or loss suffered due to increase in yield as holder of the bond?

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3. 1-day VaR of a portfolio is Rs. 500,000 with 95% confidence level. In a period of six months (125 working days) how many times the loss on the portfolio may exceed Rs. 500,000?

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4. A bank suffers loss due to adverse market movement of a security. The security was however held beyond the defeasance period. What is the type of the risk that the bank has suffered?

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5. A bank holds a security that is rated At. The rating of the security migrates to A. What is the risk that the bank has faced?

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6. A bond with remaining maturity of 5 years is presently yielding 6%. Its modified duration is 5%. What is its McCauley's duration?

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7. VaR is not enough to assess market risk of a portfolio. Stress testing is desirable because

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8. Conditional VaR is also called as_________ method.

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9. How does leverage affect capital loss in market risk?

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10. What is the risk faced by Mr. X due to reduced liquidity in the market for a specific security?

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11. What potential downside risk does Mr. X face in the market?

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12. What are the components of a bank's trading book?

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13. Why does a bank hold proprietary positions in financial instruments?

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14. What risk arises due to adverse changes in market variables such as interest rates and currency exchange rates?

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15. Which type of liquidity risk is related to asset-liability mismatch?

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16. What is market risk?

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17. Why is the period of liquidation critical in assessing market risk?

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18. What is trading liquidity?

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19. What is the main difference between high-liquidity and poor-liquidity environments?

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20. What is the difference between asset liquidation risk and market liquidation risk?

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21. How is credit risk reflected in the market?

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22. What is the term used to describe the risk associated with over-the-counter derivatives?

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23. What is settlement risk?

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24. Which of the following are examples of market parameters that drive market values?

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25. What is one limitation of sensitivity as a measure of risk?

Question 25 of 25