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TCP Flashcards

1
Q

What are the 4 basel standards?

A
  1. Balance Sheet Management
  2. Bank Policies
  3. Dodd-Frank Act
  4. Regulatory & Tax Framework
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2
Q

What are the 5 asset classes? ICCCE.

A

Interest Rate
Currency FX
Commodities
Credit
Equities

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3
Q

What are the three ways that banks earn?

A
  1. Net interest income
  2. Trading profits
  3. Fee-based income
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4
Q

What are the 4 types of fee-based income? BCAP

A
  1. Broker’s commission
  2. Credit card
  3. Account maintenance fees
  4. Processing fees
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5
Q

What are the 3 main roles of commercial banks?

A
  1. Financial intermediation
  2. Participate in financial markets
  3. Structure products for hedging and active risk taking
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6
Q

Hedging is <blank> risks, while Speculation is <blank> risks...</blank></blank>

A

Take out, take

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7
Q

According to the lecture, what are the 6 common asset classes? RCCIGF

A

Reserves
Consumer loans
Corporate loans
Interbank loans
Government bonds
Fixed Assets

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8
Q

According to the lecture, what are the 3 common liabilities? DTI

A

Demand deposits
Term deposits
Interbank deposits

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9
Q

What are the 3 layers of BALANCE SHEET MANAGEMENT?

A
  1. High-level management of assets and liabilities
  2. Strategize the tactics to ensure the proper management
  3. Manage interest rate and Liquidity risk
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10
Q

What are the 5 core principles of ALCO-ALM?

A
  1. Understanding of assets and liabilities
  2. Treat banking business as a risk portfolio
  3. ALM means Risk Management also
  4. FMS is not static, but active pursuer of income vis-a-vis the risk
  5. Anticipate worst case scenario
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11
Q

What is ROEC?

A

Return on Economic Capital

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12
Q

What is the formula for ROEC?

A

Risk-adjusted expected returns/Economic capital

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13
Q

Creation of value means higher <blank></blank>

A

ROEC/RAROC

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14
Q

What are the 3 tools that the BSP uses for monetary policy?

A
  1. RR
  2. Policy Rate
  3. OMO
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15
Q

What is the formula for the effective rate?

A

Effective rate = (Nominal Rate - Earnings on Reserves) / (1 - Reserve Ratio)

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16
Q

What are the two primary reserves by the BSP?

A
  1. Deposit Liability
  2. Liquidity Floor Reserves
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17
Q

What are the 3 items that may be counted as part of the Liquidity floor reserves?

A
  1. Transferable government securities
  2. Free portion of the demand deposit account balance (after satisfying reserve requirement)
    3.. Special deposit accounts with BSP
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18
Q

What are the 6 BASEL rules? BCT CLN

A
  1. Banking book positions
  2. Capital requirement
  3. Trading book positions
  4. Capital charges at commercial banks
  5. Liquidity coverage ratio
  6. Net stable funding ratio
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19
Q

Bps is for which market?

A

Money Market

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20
Q

Pips is for which market?

A

FX

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21
Q

Net interest income is generated by:

A

borrowing low, lending high

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22
Q

What are the 2 main revenue drivers for banks?

A
  1. Net revenue from funds (NRRF) or Net interest income
  2. Non-funds revenue (NFR) or fee-based income
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23
Q

What are the 6 market risks? ICCCEL

A
  1. Interest rate risk
  2. Currency exchange risk
  3. Commodity risk
  4. Credit risk premium
  5. Equity risk
  6. Liquidity risk
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24
Q

What are the 2 liquidity risks?

A
  1. Funding (ALM and maturities)
  2. Trading (Inability to liquidate positions)
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25
Q

ALM gaps are based on what 5 metrics?

A
  1. FED/BSP actions
  2. Economic conditions
  3. Yield curve analysis
  4. Market sentiments
  5. Human emotions
26
Q

What is the accounting treatment for BANKING BOOK?

A

ACCRUAL

27
Q

What is the accounting treatment for TRADING BOOK?

A

MARK TO MARKET

28
Q

What is the revenue for BANKING BOOK?

A

Net interest income

29
Q

What is the revenue for TRADING BOOK?

A

Trading profits, fees

30
Q

What are the 3 risks associated with BANKING BOOK?

A

Funding, Liquidity, Interest Rate

31
Q

What are the 3 risks associated with TRADING BOOK?

A

Trading, Liquidity, Interest Rate

32
Q

What are the 2 risk measure and control associated with BANKING BOOK?

A

MV Commodity Outflow, EAR Limits

33
Q

What are the 2 risk measure and control associated with TRADING BOOK?

A

Position limits, VAR limits

34
Q

What are the 3 intermediation risks?

A
  1. Credit
  2. Market (Rate, Liquidity)
  3. Operations
35
Q

What is the formula for EAR limits?

A

EAR = ([gap] * change in rate) / 4

36
Q

The EFFECTIVE ANNUAL RATE is used for what?1.

A
  1. To quantify measure of profit to interest rate change
  2. Control interest rate risk by imposing limits or maximum loss amount
37
Q

What is the corresponding z-score for 5% confidence level?

A

1.645

38
Q

What is the corresponding z-score for 1% confidence level?

A

2.326

39
Q

What is the formula for MVaR? PSMMDS

A

MVaR = Principal x STDEV x Multiplier x Mod. Duration x sqrt(t)

40
Q

MVaR is used to derive which vital piece of investing?

A

The Principal needed to ensure a safe exposure

41
Q

What are the 2 pillars of QUANTITATIVE macroeconomic strategy?

A

Pillar 1: Global Macroeconomic Fundamentals
Pillar 3: Behavioral Finance (Information Brokering)

42
Q

What are the 2 pillars of QUANTITATIVE macroeconomic strategy?

A

Pillar 2: Data-based Metrics
Pillar 4: Positioning and Flows (Demand and Supply)

43
Q

What is OODA?

A

Observe, Orient, Decide, Act

44
Q

What is the 4 step analysis in preparation for Market Analysis? PETS

A
  1. Portfolio Objectives
  2. Economic Analysis
  3. Technical analysis
  4. Specific Security Analysis
45
Q

Formula of Disposable Income:

A

Income - Taxes + Transfers or Consumption + Household Savings

46
Q

Tax + Gov’t Borrowing is equal to:

A

Government Purchases + Transfers

47
Q

4 types of unemployment: CSFC

A
  1. Cyclical
  2. Structural
  3. Frictional
  4. Classical
48
Q

6 types of inflation (DDDHSC)

A
  1. Deflation
  2. Disinflation
  3. Hyperinflation
  4. Stagflation
  5. Demand PULL inflation
  6. Cost PUSH inflation
49
Q

Philips curve is the relationship between

A

inflation and unemployment

50
Q

What is the double mandate of the BSP?

A

Price Stability, and Stable Banking System

51
Q

Markets have 3 movements, according to Charles Dow, enumerate:

A

Value, Primary, Secondary movement

52
Q

What are the 3 phases of the DOW THEORY?

A

Accumulation, Public Participation, Distribution

53
Q

What are the 4 types of support and resistance?

A
  1. resistance
  2. support
  3. bearish trend reversal
  4. bullish trend reversal
54
Q

What are the 3 types of trends?

A

Strong, Healthy, Weak

55
Q

What are the 3 trading strategies?

A
  1. Trade the consolidation
  2. Trend is your friend
  3. Straddle
56
Q

What is the trade date?

A

when you and I agree to trade (no exchange of funds)

57
Q

What is the spot value date?

A

when we exchange funds (few days after the trade date)

58
Q

What is the forward value date?

A

when the contract ends

59
Q

Market makers always buy at the <blank></blank>

A

Lower rate

60
Q

What is a forward rate agreement?

A

Agreement between two parties to pay each other the difference between → (1) pre-agreed fixed rate, (2) benchmark rate on a notional amount → on a settlement date → equivalent to a single-period interest rate swap

61
Q
A

TCP (1 decks)

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