Exam Name: | Financial Risk and Regulation (FRR) Series | ||
Exam Code: | 2016-FRR Dumps | ||
Vendor: | GARP | Certification: | Financial Risk and Regulation |
Questions: | 387 Q&A's | Shared By: | jeremiah |
To estimate a partial change in option price, a risk manager will use the following formula:
To safeguard its capital and obtain insurance if the borrowers cannot repay their loans, Gamma Bank accepts financial collateral to manage its credit risk and mitigate the effect of the borrowers' defaults. Gamma Bank will typically accept all of the following instruments as financial collateral EXCEPT?
Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?
Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan also has an annual expected default rate of 2%, and loss given default at 50%. In this case, what will the bank's expected loss be? What is the expected loss of this loan?