Free GARP FRM-Part-2 Exam Questions

If portfolio assets are perfectly correlated, portfolio VaR will equal:

The latest on-the-run (OTR) Treasury bond issued on March 1 is trading at a special spread of 0.25%. Traders expect the bond to trade at general collateral (GC) rates past June 30. The financing value of the OTR bond is therefore the value over 122 days.Given this information, the value of lending $100 of cash is closest to:

A portfolio consists of two positions. The VaR of the two positions are $10 million and $20 million. If the returns of the two positions are not correlated, the VaR of the portfolio would be closest to:

Imagine you are a risk manager at a mid-sized commercial bank that has experienced rapid growth over the past three years. Your bank, similar to Silicon Valley Bank (SVB), has asignificant reliance on uninsured deposits and a concentrated customer base. Given the recentfailure of SVB, primarily attributed to liquidity risk management deficiencies, your CEO hastasked you with reviewing and strengthening the bank’s liquidity risk management framework.Your review reveals several areas that mirror SVB’s situation, particularly concerning internalliquidity stress testing (ILST), the modeling of a 30-day liquidity buffer, and management'sresponsiveness to liquidity challenges. Based on the lessons learned from SVB's failure, which ofthe following actions should you prioritize to improve your bank’s liquidity risk management?

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: