銀行Z,中型銀行,只使用操作從內(nèi)部損失數(shù)據(jù)記錄從操作風(fēng)險(xiǎn)事件損失分布模型。銀行審查記錄,確認(rèn)后他們完成其歷史記錄損失,其損失可能是近似均勻分布,它決定不使用外部損失數(shù)據(jù)估計(jì)損失分布?；谶@一決定,下列哪個(gè)陳述是正確的?
　　1. Bank Z, a medium-size bank, uses only operational loss data from internal records to model its loss distribution from operational risk events. The bank reviewed its records, and, after confirming that they were complete records of its historical losses and that its losses could be approximated by a uniform distribution, it decided against using external loss data to estimate its loss distribution. Based on that decision, which of the following statements is correct?
　　A.      The estimated loss distribution likely accurately represents Bank Z’s real risk because the records are accurate and complete.
　　B.       The estimated loss distribution likely overtakes bank Z’s real risk because many incidences in the past were likely “one off.”
　　C.       The estimated loss distribution likely is the best estimate of Bank Z’s real risk because there is no better loss data for the bank than its own.
　　D.      The estimated loss distribution likely understates Bank Z’s real risk because the bank has not experienced a huge loss.
　　2. Your bank has chosen to use the advanced Internal Rating Based Approach under Basel II. The bank is contemplating a large securitization of low-quality loans that are currently on its balance sheet. You are concerned about whether the securitization will provide you with regulatory capital relief. Which one of the following approaches would be the most efficient in reducing the bank’s regulatory capital?
　　A.      The bank sets up an Special Purpose Vehicle (SPV) that issues securities. All proceeds from selling these securities are invested in a portfolio of equities. The SPV sells protection to the bank through a credit default swap on the loans in the bank’s portfolio.
　　B.       The bank sells the loans to an SPV and keeps an equity piece representing 8% of the value of the loans.
　　C.       The bank sells the loans to an SPV that issues securities. These securities issued are then sold to third-party investors. The bank indicates to some investors that if credit quality of the loans declines significantly, the bank will try to help the investors, but specifies that the bank is unwilling to provide a contractual guarantee.
　　D.      The bank forgoes the securitization and buys a credit default swap on the loans from an AAA-rated provider.
　　3. A 12-year, 8 percent semiannual coupon bond with $100 par value currently trades at $78.75 and has an effective duration of 9.8 years and a convexity of 130.0. What is the price of the bond if the yield falls by 150 basis points?
　　A.      $67.17.
　　B.       $86.47.
　　C.       $91.48.
　　D.      $95.43.
　　4. Which of the below are methods to estimate parameters of operational loss distributions?
　　I.          Moments
　　II.       Probability-weighted moments
　　III.     Maximum likelihood
　　IV.     Econometric
　　A.      I and III
　　B.       I, II and III
　　C.       IV
　　D.      III and IV
　　5. Asset liquidity risk is most pronounced for:
　　A.      A $10 million position in distressed securities
　　B.       A $10 million position in Treasury bonds
　　C.       A $100 million position in distressed securities
　　D.      A $100 million position in Treasury bonds
　　Answer
　　1. Correct answer: D
　　由于該公司的 Loss Distribution 近似于一個(gè) Uniform distribution，可以推測(cè)該公司損失的次數(shù)比較小，且大小相近或相似，其原因大致可歸類于數(shù)據(jù)選取的偏差，原因可能是由于公司剛成立不久，數(shù)據(jù)量不夠大，還沒有經(jīng)歷過比較極端巨大的損失所造成的。
　　2. Correct answer: C
　　A 中 Bank set up a SPV 形成了實(shí)際參股，要合并報(bào)表，對(duì)于減少監(jiān)管資本沒有幫助；B中 Bank 持有了 8%的 Equity Tranches，是 SPV 中最有風(fēng)險(xiǎn)的部分，最減少監(jiān)管資本的幫助不大；C中 Bank 將手中的 Loan 完全賣出，形成了 True Sale，完全不持有頭寸，直接從資本中扣除，可以實(shí)際減少監(jiān)管資本。故正確；D中 Bank 放棄了證券化，單買了一個(gè) CDS，Loan 仍然還在資產(chǎn)負(fù)債表中。隨然通過 CDS 可以減少監(jiān)管資本的要求，但是仍然沒有 C 中的完全出售 Loan 來的多。
　　3. Correct answer ：C
　　Percentage price change = [(-) (effective duration)( Δy)]+[(1/2)(convexity)( Δy)2]
　　= [(-)(9.80)(-0.015)]+[(0.5)(130)(-0.015)2] = 16.16
　　Estimated price = 78.75(1+0.1616) = $91.48
　　4. Answer: B
　　The parameters of loss distributions can be estimated by moments, probability-weighted moments, or with maximum likelihood techniques
　　5. Answer: C
　　Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities trade much less than Treasury bonds, and so have more intrinsic liquidity. A $100 million position is more illiquid than a $10 million position in the same instrument.