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?
The operational risk policy should include:
I. The firm's definition of risk
II. The governance of operational risk including who owns it, what it owns, and how issues should be
escalated
III. The main activities and elements that are managed by the operational risk function
Which one of the four following statements describes a specific characteristic of risk and control
self-assessments (RCSA) which distinguishes it from both control assessments and risk and control
assessments?
An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.
Which one of the following four statements about equity indices is INCORRECT?
