Free GARP FRM-Part-2 Exam Questions

A significant challenge in estimating the legal loss module of an operational risk stress test is that:

A bank is assessing the impact of a new transaction on CVA and DVA. If the new transaction is negatively correlated to existing transactions, the impact will likely be a(n):

A risk manager is trying to estimate the default time for asset i based on the default copula correlation of asset i to n assets. Which of the following equations best defines the process that the risk manager should use to generate and map random samples to estimate the default time?

Firm A has $1 billion in highly liquid assets. In a sudden stressed scenario, it estimates that retail customers will withdraw $150 million in deposits, and retail customers will be able to make $80 million of loan repayments. Firm A must deal with $60 million of margin and collateral calls on its derivatives transactions due to falling collateral values and greater volatility of the underlying assets. In addition, the firm has utilized $90 million of its available $100 million liquidity facility. What is the estimate of Firm A’s stressed liquidity asset buffer?

What is the impact on the bond price-yield curve if, all other factors held constant, the maturity of a zero-coupon bond increases? The pricing curve becomes: