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Exam Code: ICBRR
Exam Name: International Certificate in Banking Risk and Regulation (ICBRR)
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GARP ICBRR Test Questions 342 Q&As
ICBRR Real Questions Detail: ICBRR Test Questions
NO.1 Which one of the four following non-statistical risk measures are typically not used to quantify
A. Net closed positions
B. Basis point values
C. Option sensitivities
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NO.2 A risk associate is trying to determine the required risk-adjusted rate of return on a stock using
the Capital Asset Pricing Model. Which of the following equations should she use to calculate the
A. Required return = risk-free return + beta x (1 - market risk)
B. Required return = (1-risk free return) + beta x market risk
C. Required return = risk-free return + beta x market risk
D. Required return = risk-free return + 1/beta x market risk
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NO.3 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. Duration of default.
B. Probability of default.
C. Loss given default.
D. Exposure at default.
NO.4 Which one of the following four variables of the Black-Scholes model is typically NOT known at
a point in time?
A. The time to maturity
B. The underlying interest rates
C. The future volatility of the exchange rates
D. The underlying relevant exchange rates
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NO.5 Which one of the following four statements regarding counterparty credit risk is INCORRECT?
A. The exposure at default is variable due to fluctuations in swap valuations.
B. Dynamic collateral provisions often increase counterparty risk considerably.
C. The exposure at default can be negatively correlated to probability of default.
D. Counterparty credit risk refers to the inability to realize gains in a contract with a counterparty due
to its default.
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NO.6 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. Basel II Accord
B. The Sarbanes-Oxley Act
C. Solvency II
D. The Markets in Financial Instruments Directive
NO.7 A risk analyst at EtaBank wants to estimate the risk exposure in a leveraged position in
Collateralized Debt Obligations. These particular CDOs can be used in a repurchase transaction at a
20% haircut. If the VaR on a $100 unleveraged position is estimated to be $30, what is the VaR for the
final, fully leveraged position?
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NO.8 How could a bank's hedging activities with futures contracts expose it to liquidity risk?
A. Prices may move such that a loss results on the hedge.
B. The futures hedge may not work due to the widening of basis which could result in a loss for the
C. The bank could get exposed to liquidity risk since futures trade on an exchange.
D. Since futures require margins which are settled every day, the bank could find itself scrambling for
ICBRR Exam PDF
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International Certificate in Banking Risk and Regulation
Integrated Risk Management
Section 1: Interest Rate Risk in the Banking Book
The Role of the Treasury
Asset and Liability Management Activities
Asset and Liability Management (ALM) Risks
NII Risk in the Banking Book
Equity Risk in the Banking Book
Section 2: Liquidity Risk in the Banking Book
Introduction to Liquidity Risk
Liquidity Risk Measurement
Liquidity Risk Management
Section 3: Bank Capital Management
Types of Capital
Computing Economic Capital
Components of Capital
Risk and Return for Financial Instruments
Risk-based Performance Measurement
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