Which of the following are conclusions that could be drawn from the shape of the statistical distribution of
losses that a bank might incur over a future time period?
I. In most years a bank would look more profitable than it will be on average.
II. Most of the time a sufficiently well capitalized bank will appear over-capitalized.
III. Bad years do not come along very often, but when they do they lead to enormous losses.
A bank has a Var estimate of $100 million. It is considering a new transaction which has a correlation of 0.35
with the current portfolio and a standalone VaR estimate of $5 million. What would be the new VaR for the
bank if it carried out the transaction?
Which one of the following four statements presents a challenge of using external loss databases in the
operational risk framework?
The skewness of ABC company's stock returns equal -1.5. What is the correct interpretation of this?
The pricing of credit default swaps is a function of all of the following EXCEPT:
