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Caiib Rmmodb Nov08
Caiib Rmmodb Nov08
- RISK MANAGEMENT
– MODULE B
– OPERATIONAL RISK
– STRATEGIC RISK
– REPUTATION RISK
RFISK MANAGEMENT
IDENTIFICATION
MEASUREMENT
– SENSITIVITY
– VOLATILITY
– DOWNSIDE POTENTIAL
PRICING COVERING
– COST OF RESORUCES
– COSTOF OPERATIONS
– RISK PREMIUM
– CAPITAL CHARGE
MONITORING AND CONTROL
MITIGATION
– TRANSFERING
BASEL 1 & 2
THREE PILLARS
TWO TYPES OF CAPITALS
DIFFERENT METHODS OF
MEASUREMENT OF RWA
MARKET RISK
HAS A COMPONENT OF CREDIT RISK IN
ADDITION TO PRICE, LIQUIDITY AND
INTEREST RATE RISKS
LIQUIDITY RISK CAN ALSO BE DUE TO
MARKETS
RISK IN INVESTMENTS IS MEASURED
THRO’ BPV, MODIFIED DURATION, VaR
AND YIELD AND PRICE VOLATILITIES
MONITORING & CONTROL AND
MITIGATION
MONITORING
– POLICY GUIDELINES FOR VARIOUS
ACTIVITIES
– CAPS FOR TRANSACTION SIZES, STOP
LOSS LIMITS, GUIDLEINES ON
PORTFOLIO SIZES BOTH TYPE AND
INDUSTRY, EXPOUSRE NORMS
MITIGATION THROUGH DERIVATIVES
CREDIT RISK
b. Operational risk
b. Slope downward
c. Become flatter
d. Remain unchanaged
Given the rating migration of 100 a
rated accounts in bank during a year
as under, please answer the number
of accounts who suffered rating
migration.
A++ A+ A B+ B C Default
1 1 75 12 3 5 3
a. 2 b. 23 c. 25 d. 21
ABC financial corporation has lent Rs 1500 crores,
at an average contractual rate of 14%. Past
experience indicates that the probability of
repayment is 0.90 what would be the expected
return rate of the corporation if the recovery rate of
principal and interest is 0.95
SUCCESS IN EXAMINATION