National Institute of
Bank Management
Dashboard My courses RSK MGMT MODULE III: MANAGEMENT OF RISK IN BANK PORTFOLIOS - CREDIT RISK
Chapter 1: Quiz
Started on Sunday, 17 December 2023, 6:05 PM
State Finished
Completed on Sunday, 17 December 2023, 6:10 PM
Time taken 4 mins 50 secs
Question 1 Correct Mark 1.00 out of 1.00
Which one of the following true for Expected loss (EL) and Unexpected loss (UL)
Select one:
a. EL>UL
b. EL=UL
c. EL & UL have no relation with each other
d. EL<UL
The correct answer is: EL<UL
Question 2 Correct Mark 1.00 out of 1.00
Expected Loss (EL) of a portfolio of credit assets is
Select one:
a. Algebraic sum of the EL of the individual credits
b. Square root of sum of squares of the EL of the individual credits
c. Square root of product of the EL of the individual credits
d. Average of the EL of the individual credits
The correct answer is: Algebraic sum of the EL of the individual credits
Question 3 Correct Mark 1.00 out of 1.00
Which one of the following is true regarding the unexpected loss (UL) for a credit portfolio
Select one:
a. UL of portfolio is not related with UL of individual credits
b. UL of portfolio is less than sum of UL of individual credits
c. UL of portfolio is more than sum of UL of individual credits
d. UL of portfolio is equal to sum of UL of individual credits
The correct answer is: UL of portfolio is less than sum of UL of individual credits
Question 4 Correct Mark 1.00 out of 1.00
In the equation for estimation of unexpected loss, the probability of default is first multiplied
with
Select one:
a. Variance of Probability of Default
b. Exposure of default
c. Loss given Default
d. Variance of Loss given Default
The correct answer is: Variance of Loss given Default
Question 5 Correct Mark 1.00 out of 1.00
The determination of which, for a credit portfolio, does not include the default correlation
between the credit assets in the portfolio
Select one:
a. Both expected and unexpected loss
b. Neither expected nor unexpected loss
c. Expected loss
d. Unexpected loss
The correct answer is: Expected loss
Question 6 Correct Mark 1.00 out of 1.00
Which one of the following is not intended as use of the "Expected Loss" measure
Select one:
a. Determine amount risk capital
b. Set reserve requirements for doubtful accounts
c. Determine risk adjusted return on capital
d. Calculation of credit spread
The correct answer is: Determine amount risk capital
Question 7 Correct Mark 1.00 out of 1.00
The risk weight captured under Basel II standardized approach captures
Select one:
a. Neither expected nor unexpected loss
b. Expected loss
c. Unexpected loss
d. Both expected and unexpected loss
The correct answer is: Unexpected loss
Question 8 Correct Mark 1.00 out of 1.00
Marginal Risk contribution of a credit asset in a portfolio is measured in terms of
Select one:
a. Expected loss
b. Neither expected nor unexpected loss
c. Both expected and unexpected loss
d. Unexpected loss
The correct answer is: Unexpected loss
Question 9 Correct Mark 1.00 out of 1.00
If PD of a Rs. 100 crore loan is 2% and LGD is 50%, the unexpected loss of the loan would be
Select one:
a. Rs 7 crore
b. Rs 5 crore
c. Rs 1 crore
d. Rs 3 crore
The correct answer is: Rs 7 crore
Question 10 Correct Mark 1.00 out of 1.00
If Probability of Default (PD) is binomially distributed then variance of PD is equal to
Select one:
a. PD / (1 - PD)
b. PD x (1 + PD)
c. PD / (1 + PD)
d. PD x (1 - PD)
The correct answer is: PD x (1 - PD)