4 Flashcards
Question 1
Application scoring can be considered
a) a snapshot to snapshot type of problem.
b) a videoclip to snapshot type of problem.
c) a snapshot to videoclip type of problem.
a) a snapshot to snapshot type of problem.
Behavioral scoring can be considered:
c) a snapshot to videoclip type of problem.
Question 2
Which statement is correct?
a) A credit bureau is an organization that assembles and aggregates credit information from various financial institutions or banks.
b) A credit bureau can collect both positive or negative credit information.
c) Experian, Equifax and TransUnion are popular credit bureaus in the US.
d) All statements are correct.
d) All statements are correct.
Question 3
In application scoring, empirical analysis has shown that the majority of customers default in the first
a) 6 months.
b) 12 months.
c) 18 months.
d) 24 months.
c) 18 months.
Question 4
Behavioural scoring can be used for:
a) Debt provisioning.
b) Setting credit limits.
c) Collection strategies.
d) All of the above.
d) All of the above.
Question 5
Behavioural scoring data usually consists of
a) more variables than application scoring data.
b) less variables than application scoring data.
a) more variables than application scoring data.
Question 6
The Altman z-score model is a popular
a) retail application scorecard.
b) retail behavioral scorecard.
c) corporate bankruptcy model.
d) corporate rating system.
c) corporate bankruptcy model.
Question 7
Rating agencies such as Moody’s, Standard and Poors and Fitch do not provide ratings for
a) companies.
b) mortgages.
c) countries, governments and local authorities.
d) banks.
b) mortgages.
Question 8
The shadow rating approach
a) is an example of an expert-based approach for corporate credit risk.
b) aims at building a statistical model mimicking the external ratings provided by a rating agency.
c) is a popular method for retail application scoring.
d) usually results into a black box credit risk model.
b) aims at building a statistical model mimicking the external ratings provided by a rating agency.
Question 9
Economic capital is the capital
a) a bank should have according to a regulation (e.g., the Basel Accords).
b) a bank has based on internal modeling strategy.
c) a bank actually holds.
b) a bank has based on internal modeling strategy.
Question 10
According to the Basel I Capital Accord, the capital equals:
a) 4% of the Risk Weighted Assets.
b) 8% of the Risk Weighted Assets.
c) 12% of the Risk Weighted Assets.
d) 16% of the Risk Weighted Assets.
b) 8% of the Risk Weighted Assets.
Question 11
According to the Basel I Capital accord, the regulatory capital needed for a 200.000 US $ mortgage equals (remember for mortgages the risk weight equals 50%):
a) 100.000 US$.
b) 16.000 US$.
c) 8.000 US$.
d) 4.000 US$.
c) 8.000 US$.
Question 12
The Basel II Capital Accord considers the following type of risks
a) Credit Risk.
b) Market Risk.
c) Operational Risk.
d) All of the above.
d) All of the above.
Question 13
In Basel III, the non-risk based leverage ratio equals
a) 3% of the assets.
b) 3% of the risk weighted assets.
c) 3% of the off-balance sheet assets.
a) 3% of the assets.
Question 14
The risk weights in the Basel II standardized approach for retail are:
a) 35% for non-mortgage exposures and 75% for mortgage exposures.
b) 75% for non-mortgage exposures and 35% for mortgage exposures.
c) 50% for non-mortgage exposures and 50% for mortgage exposures.
d) 35% for non-mortgage exposures and 35% for mortgage exposures.
b) 75% for non-mortgage exposures and 35% for mortgage exposures.
Question 15
Assume a PD =10%, LGD=50% and EAD=10.000 US $. The expected loss (EL) then becomes:
a) 50 US$
b) 500 US$
c) 5000 US$
d) 10000 US$
b) 500 US$
Question 16
Provisions are set aside to cover:
a) Expected losses.
b) Unexpected losses.
a) Expected losses.
Question 17
The Merton model studies
a) corporate bankruptcy.
b) retail default.
a) corporate bankruptcy.
Question 18
For residential mortgage exposures, the asset correlation equals:
a) 4 percent.
b) 15 percent.
c) 10 percent.
b) 15 percent.
Question 19
The Basel Capital requirement formula focusses on the
a) expected loss.
b) unexpected loss.
b) unexpected loss.
Question 20
Essentially, the Basel Capital requirement formula
a) translates the PD into a 99.9% worst case PD.
b) translates the LGD into a 99.9% worst case LGD.
c) translates the EAD into a 99.9% worst case EAD.
d) translates the PD, LGD and EAD into a 99.9% worst case PD, LGD and EAD.
a) translates the PD into a 99.9% worst case PD.
Question 21
The Basel Capital requirement formulas are non-linear in
a) PD.
b) LGD.
c) EAD.
a) PD.
Question 22
IFRS 9 focusses on:
a) expected loss.
b) unexpected loss.
a) expected loss.
Question 23
IFRS 9 requires
a) lifetime PD estimates for Stage 1 and Stage 2 assets and lifetime PD estimates for Stage 3 assets.
b) 12 month PD estimates for Stage 1 assets and lifetime PD estimates for Stage 2 and Stage 3 assets.
c) lifetime PD estimates for Stage 1 assets and 12 month PD estimates for Stage 2 and Stage 3 assets.
d) 12 month PD estimates for Stage 1 and Stage 2 assets, and lifetime PD estimates for Stage 3 assets.
b) 12 month PD estimates for Stage 1 assets and lifetime PD estimates for Stage 2 and Stage 3 assets.
Question 24
Which statement is correct about the multilevel credit risk model architecture
a) Level 0 is the data; level 1 the scorecard and level 2 the ratings and the calibration.
b) Level 0 is the scorecard; level 1 the data and level 2 the ratings and the calibration.
c) Level 0 are the ratings and calibration; level 1 the scorecard and level 2 the data.
d) Level 0 is the data; level 1 the ratings and calibration and level 2 the scorecard.
a) Level 0 is the data; level 1 the scorecard and level 2 the ratings and the calibration.
