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An analyst simulates the distribution of operational losses for her employer. She finds that the loss that corresponds to the 99th percentile of potential losses is $1,500,000 and the mean of the distribution is $250,000. The estimate of operational risk economic capital is closest to:

A) $250,000

B) $1,500,000

C) $1,250,000

D) $1,750,000

答案：C

解析：Operational risk economic capital is the difference between the loss at a given confidence level and the expected loss. In this case, $1,500,000–$250,000 = $1,250,000.

Which of the following strategies can contribute to minimizing operational risk?

I. Individual responsible for committing to transaction should perform clearance and accounting functions.

II. To value current positions, price information should be obtained from external sources.

III. Compensation scheme for trader should be directly linked to calendar revenues.

IV. Trade tickets need to be confirmed with the counterparty.扫码咨询

A) I and II

B) II and IV

C) III and IV

D) I, II, and III

答案：B

解析：II and IV are both correct. I is incorrect because it violates the separation of duties principle. III is incorrect because it ignores the amount of risk assumed by the trader and may encourage taking risks that may not become evident during the calendar period.

Which of the following aggregation methodologies is characterized by great difficulty in validating parameterization and building a joint distribution?

A) Copulas

B) Constant diversification

C) Variance-covariance matrix

D) Full modeling/Simulation

答案：A

解析：Copulas have two notable disadvantages: (1) parameterization is very difficult to validate, and (2) building a joint distribution is very difficult.

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