Financial Risk Management Exam
Sample Questions
Prepared by Daniel HERLEMONT
1
,PART I - QUANTITATIVE ANALYSIS_________________________________________ 3
Chapter 1 - Bunds Fundamentals__________________________________________________ 3
Chapter 2 - Fundamentals of Probability ___________________________________________ 7
Chapter 3 – Fundamentals of Statistics ____________________________________________ 11
Chapter 4 - Monte Carlo Methods ________________________________________________ 13
PART I - CAPITAL MARKETS ______________________________________________ 17
Chapter 5 - Introduction to Derivatives____________________________________________ 17
Chapter 6 - Options ____________________________________________________________ 18
Chapter 7 - Fixed Income Securities ______________________________________________ 22
Chapter 8 - Fixed Income Derivatives _____________________________________________ 28
Chapter 9 - Equity Market ______________________________________________________ 31
Chapter 10 - Currency and Commodities Markets __________________________________ 33
PART III - MARKET RISK MANAGEMENT ___________________________________ 36
Chapter 11 - Introduction to Risk Measurement ____________________________________ 36
Chapter 12 - Identification of Risk Factors_________________________________________ 38
Chapter 13 - Sources of Risk ____________________________________________________ 40
Chapter 14 - Hedging Linear Risk ________________________________________________ 44
Chapter 15 - Non Linear Risk: Options____________________________________________ 47
Chapter 16 - Modelling Risk Factors ______________________________________________ 52
Chapter 17 - VaR Methods ______________________________________________________ 53
PART IV - Credit Risk Management___________________________________________ 55
Chapter 18 - Introduction to Credit Risk __________________________________________ 55
Chapter 19 - Measuring Actuarial Default Risk_____________________________________ 58
Chapter 20 - Measuring Default Risk from Market Prices ____________________________ 63
Chapter 21 - Credit Exposure____________________________________________________ 65
Chapter 22 - Credit Derivatives __________________________________________________ 71
Chapter 23 - Managing Credit Risk_______________________________________________ 75
PART V - OERATIONAL AND INTEGRATED RISK MANAGEMENT_____________ 79
Chapter 24 - Operational Risk ___________________________________________________ 79
Chapter 25 - Risk Capital and RAROC ___________________________________________ 82
Chapter 26 - Best Practices Reports ______________________________________________ 84
Chapter 27 - Firmwide Risk Management _________________________________________ 84
Chapter 31 - The Basle Accord___________________________________________________ 89
Chapter 32 - The Basle Risk Charge ______________________________________________ 91
2
,PART I - QUANTITATIVE ANALYSIS
Chapter 1 - Bunds Fundamentals
3
, 4
Sample Questions
Prepared by Daniel HERLEMONT
1
,PART I - QUANTITATIVE ANALYSIS_________________________________________ 3
Chapter 1 - Bunds Fundamentals__________________________________________________ 3
Chapter 2 - Fundamentals of Probability ___________________________________________ 7
Chapter 3 – Fundamentals of Statistics ____________________________________________ 11
Chapter 4 - Monte Carlo Methods ________________________________________________ 13
PART I - CAPITAL MARKETS ______________________________________________ 17
Chapter 5 - Introduction to Derivatives____________________________________________ 17
Chapter 6 - Options ____________________________________________________________ 18
Chapter 7 - Fixed Income Securities ______________________________________________ 22
Chapter 8 - Fixed Income Derivatives _____________________________________________ 28
Chapter 9 - Equity Market ______________________________________________________ 31
Chapter 10 - Currency and Commodities Markets __________________________________ 33
PART III - MARKET RISK MANAGEMENT ___________________________________ 36
Chapter 11 - Introduction to Risk Measurement ____________________________________ 36
Chapter 12 - Identification of Risk Factors_________________________________________ 38
Chapter 13 - Sources of Risk ____________________________________________________ 40
Chapter 14 - Hedging Linear Risk ________________________________________________ 44
Chapter 15 - Non Linear Risk: Options____________________________________________ 47
Chapter 16 - Modelling Risk Factors ______________________________________________ 52
Chapter 17 - VaR Methods ______________________________________________________ 53
PART IV - Credit Risk Management___________________________________________ 55
Chapter 18 - Introduction to Credit Risk __________________________________________ 55
Chapter 19 - Measuring Actuarial Default Risk_____________________________________ 58
Chapter 20 - Measuring Default Risk from Market Prices ____________________________ 63
Chapter 21 - Credit Exposure____________________________________________________ 65
Chapter 22 - Credit Derivatives __________________________________________________ 71
Chapter 23 - Managing Credit Risk_______________________________________________ 75
PART V - OERATIONAL AND INTEGRATED RISK MANAGEMENT_____________ 79
Chapter 24 - Operational Risk ___________________________________________________ 79
Chapter 25 - Risk Capital and RAROC ___________________________________________ 82
Chapter 26 - Best Practices Reports ______________________________________________ 84
Chapter 27 - Firmwide Risk Management _________________________________________ 84
Chapter 31 - The Basle Accord___________________________________________________ 89
Chapter 32 - The Basle Risk Charge ______________________________________________ 91
2
,PART I - QUANTITATIVE ANALYSIS
Chapter 1 - Bunds Fundamentals
3
, 4
