Free GARP FRM-Part-2 Exam Questions

Sovereign Bank has an internal audit department, but the bank CEO hires an external auditor to review their financial statements and assess their internal control system. The audit firm is most likely considered to be which line of defense?

An analyst at a commercial bank is evaluating how the bank applies historicalsimulation (HS) to estimate VaR and ES. The analyst focuses on the approachesused for weighting past return observations, including the age-weighted, volatilityweighted,correlation-weighted, and filtered HS approaches. Which of the followingstatements is correct regarding the given weighting approach?

Bank Macatawa has a $150 million exposure to Holland Metals Co. The exposure is secured by $125 million of collateral consisting of AA+-rated bonds. Holland Metals Co. is unrated. The collateral risk weight is 20%. Bank Macatawa assumes an adjustment to the exposure of +15% to allow for possible increases in the exposure and allows for a −25% change in the value of the collateral. Risk-weighted assets for the exposure are closest to:

In an attempt to understand country risk, an analyst at Global Funds examines multiple sources of information to determine the truest measure of risk. She considers sovereign risk ratings, default risk spreads, and composite measures of risk. Which of the following sources relies on surveys of several hundred economists to measure sovereign risk?

Banks are required to rebalance their portfolios as the creditworthiness of bonds decline, leading to losses over time but generally not to outright default. This requirement to specify a liquidity horizon for each instrument in the portfolio and rebalance at the end of the liquidity horizon is part of the: