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 RSK MGMT
 MODULE II : KEY RISKS AND THEIR MEASUREMENT - MARKET RISK
 Chapter 1: Quiz

Started on Wednesday, 16 August 2023, 9:12 PM

State Finished

Completed on Wednesday, 16 August 2023, 9:12 PM

Time taken 13 secs

Question 1
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For which market does the term beta captures the volatility characteristics of assets
Select one:
a. Equity market
b. Commodity market
c. Forex market
d. Bond market
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The correct answer is: Equity market

Question 2
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If the size of the portfolio is Rs. 10000 Crore, sensitivity is 4 and the size of shock is assumed to
be 2% per year, the annual loss estimate is
Select one:
a. Rs 800 crore
b. Rs 1000 crore
c. Rs 200 crore
d. Rs 400 crore
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The correct answer is: Rs 800 crore

Question 3
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A VaR estimate of Rs. 200 Cr., at the 95% confidence level, means actual losses may
Select one:
a. Exceed Rs. 200 Cr. with a probability of 95%.
b. Exceed Rs. 200 Cr. with a probability of 5%.
c. Be Rs. 200 Cr. with a probability of 95%.
d. Within Rs. 200 Cr. with a probability of 5%.
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The correct answer is: Exceed Rs. 200 Cr. with a probability of 5%.

Question 4
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Managing VaR at portfolio level provides additional benefit compared to VaR at transactional
level due to
Select one:
a. Domino effect
b. Distribution effect
c. Diversification effect
d. Duration effect
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The correct answer is: Diversification effect

Question 5
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Which one of the following markets are susceptible to interest rate risk?
Select one:
a. Bond market
b. Equity market
c. Forex market
d. Commodity market
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The correct answer is: Bond market

Question 6
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Which one of the following type of risks does market risk not address?
Select one:
a. Commodity risk
b. Foreign exchange risk
c. Credit default risk
d. Interest rate risk
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The correct answer is: Credit default risk

Question 7
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Market risk covers fluctuations in
Select one:
a. Fee income
b. Lending income
c. All the options
d. Trading income
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The correct answer is: Trading income

Question 8
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The impact of interest rate shocks on bond prices is measured by
Select one:
a. Delta analysis
b. Duration analysis
c. Beta analysis
d. Bond analysis
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The correct answer is: Duration analysis

Question 9
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Which one of the following is not a part of the trading book?
Select one:
a. Loans
b. Commodities
c. Currency
d. Equity
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The correct answer is: Loans

Question 10
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The impact of a given change in equity market indices on stock portfolios is represented by
Select one:
a. Alpha
b. Delta
c. Gamma
d. Beta
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The correct answer is: Beta