Backtest on the model on the F-IRB Approach method is carried out on ... A. All risk factors (default probability, loss given default, and exposure at default) b. Loss Given Default and Exposure AT Default specified by Supervisor c. Default Probability and Loss Given Default estimated by the Bank d. The default probability estimated by the bank e. Not set in Basel II

Vertical Disalowance is ... a. A small proportion of matched positions on each time scale b. A small proportion of matched positions between different time scales c. A greater proportion of matched positions between the apartence scales d. A greater proportion of matched positions between the same time scale e. A smaller proportion of matched positions between adjacent time scales

The correct statement about cumulative mismatch is ... a. Stated as the position needed to neutralize the net mismatch and have the same sign as net mismatch b. Stated as the position needed to neutralize the net mismatch and have the opposite sign or in the direction of the net mismatch c. Expressed as the position needed to neutralize net mismatch and have a sign that is contrary to the net mismatch d. Stated as the position needed to neutralize the cumulative net mismatch and have the same sign as cumulative net mismatch e. Stated as the position needed to neutralize cumulative net mismatch and have a sign that is contrary to the cumulative net mismatch

The risk-return model, which states that the expected risk premium for all securities is equal to its beta times the market risk premium, is called: a. Asset Pricing Theory b. Modified Internal Rate of Return c. Capital Asset Pricing Model d. Single Index Model e. Value at Risk

The bank purchased a Government Bond with an A+ rating of USD 10 million with a remaining maturity of 12 months. The amount of additional capital that must be provided by the bank in accordance with Basel II is: a. USD 50 thousand b. USD 10 thousand c. USD 100 thousand d. ZERO e. USD 150 thousand

For example, the variance of A's shares is 16% and the variance of B's shares is 25%. If it is known that the portfolio variances of the two stocks are equally weighted by 5.25%, what is the covariance of the two stocks: a. -10.5% b. 10.5% c. 15.8% d. -15.8% e. -25.5%

I need answers with the explanation please, thank you so much