CAIIB-Risk Management online Test

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Interest rate risk refers to the volatility in (a) net interest income (b) variation in net interest
margin (c) effect on profits of the bank. Which is not correct :
a and b only
b and c only
b only
c only
Under Basel II, which of the following is related to Pillar-III?
Capital requirements
Market discipline
Supervisory review process
None of the above
Which of the following does not match in the context of matching of maturing assets and
liabilities:
assets > liabilities is called positive gap
assets < liabilities is called positive gap
liabilities > assets is called negative gap
liabilities < assets is called positive gap
Which of the following will be included in the operating expenses of a bank (a) law charges (b)
auditors fee (c) expenses incurred on purchase of computer software for net working of
branches (d) director’s fee
a and d
b and d
a, b and d
a, c and d
Under stock approach for measuring and managing liquidity, various ratios are used. Which of
the following does match in the context of these ratios:
ratio of market liabilities to total assets – when low, it is adverse
ratio of short term liabilities to total assets – when high, it is better
ratio of prime assets to total assets – when low, it is better
ratio of liquid assets to total assets – when high, it is better
A bank branch raised the deposits at 10% and the Treasury Division of the bank buys these
deposits from the branch at 8%. The loss of 2% is borne by:
the treasury division
the branch that raises the deposit
shared equally by them
being notional entry, it is ignored, as both the departments are within the bank.
The open position of a Bank, in a foreign currency is the sum of :
(a) the net spot position (b) the net forward position
(a) the net spot position (b) the net option position
(a) the net spot position (b) the net forward position (c) the net option position
(a) the net spot position (b) the net forward position (c) the net option position (d) the net
futures position.
The banks are required to have a review of their Internal Capital Adequacy Assessment
Procedure (ICAAP):
at least once a year
at least once in a half year
at least once in a quarter
discretion of the banks
For market risk, the capital is required to be maintained by banks as on:
close of 31st Mar every year
close of every half year
close of every quarter
close of every day
If there is negative mismatch in the interest rate sensitive assets and liabilities and there is
rising interest rate scenario:
there will be adverse impact
there will be favourable impact
there is no impact
inadequate information
Bank-B purchased a Rs.100 6% bond for a tenor of 3 years. The market rate of interest is 7%.
What is duration of the bond:
2.8310 years
2.8102 years
2.7830 years
2.7780 years
Bank-A purchased 10% bonds with face value of Rs.100 at Rs.98 and sold the same at Rs.93
during 2009. Calculate the rate of return on the bond:
-4.90%
-5.10%
-5.25%
5.25%
Bank-B purchased 10 year bond with face value of Rs.100 by paying an amount of Rs.110. The
yield is 8.18%. What is the coupon rate:
8%
8.5%
9%
9.5%
Which among the following are taken as part of trading book for the purpose of capital for
market risk (a) securities under held for trading category (b) securities under available for sale
category (c) open gold position limit:
a and c only
b and c only
a only
a to c all
For calculating the risk weight to maintain capital for operational risk, the Basel II has
suggested the following approaches:
basic indicator approach, internal rating based approach, advance measurement approach.
basic indicator approach, standardized approach, advance measurement approach.
basic indicator approach, standardized approach, internal rating based approach.
basic indicator approach, standardized approach, internal risk based approach.