Nijenhaus Bruch is currently creating a program of operational loss data collection at a bank with a large branch network. Which minimal data standards should this collection approach include to meet minimum loss data collecting standards?

• A. Reports should capture the date of the event, the amount of loss, and recoveries of gross loss amounts.
• B. Reports should only include the actual loss date.
• C. Reports should capture both the date of the event and the amount of loss.
• D. Reports should be designed to be shared with external data loss consortia recipients.

Why is economic capital across market, credit and operational risks simply added up to arrive at an estimate of aggregate economic capital in practice?

• A. Regulators require banks to add up economic capital across market, credit and operational risks.
• B. Market, credit and operational risks are perfectly correlated which justifies adding up their associated economic capital.
• C. In practice, it is very difficult to estimate the correlations between the risk categories and as a result a conservative estimate is obtained by adding up the risks.
• D. Since market, credit and operational risks are significantly different measures of risk, there is no diversification benefit to computing economic capital to banks across types of risks.

To reduce the variability of net interest income, Gamma Bank can swap positions that make its duration gap equal to

• A. 0.5
• B. 1
• C. -1
• D. 0

The retail banking business of BankGamma has an expected P & L of $50 million and a VaR of $100 million. The bank seeks to diversify its revenue, and is considering the opportunity to acquire a credit card business with an expected P & L of $50 million and a VaR of $150 million. What will be the overall RAROC if the bank acquires the new business?

• A. 50%.
• B. 72%.
• C. 33.3%.
• D. 58%.

Which of the following statements about implementation of a successful RCSA program is correct?

• A. Internal loss data help to identify the risks and control weaknesses that need to be addressed in the RCSA; external events are not helpful in informing the discussions around potential risks.
• B. To ensure that the RCSA is well designed, it is important to interview participants, stakeholders and support functions prior to the launching the RCSA.
• C. An RCSA is only complete after all possible mitigating actions have been identified and analyzed as a result of the assessment process.
• D. The RCSA scoring methodology should include only financial impacts and not include reputational, legal, regulatory, client and life safety impacts.