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GARP ICBRR Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Market Risk Management | 20% | - VaR and stress testing - Foreign exchange risk - Interest rate risk - Equity & commodity risk |
| Liquidity & ALM | 15% | - Asset & Liability Management - Liquidity coverage ratios - Funding strategies - Liquidity risk principles |
| Banking Industry & Regulatory Framework | 15% | - Basel Accords overview - Banking business models - Risk-based supervision |
| Credit Risk Management | 25% | - Capital requirements for credit risk - Credit risk mitigation - Counterparty credit risk - Credit risk measurement |
| Operational Risk Management | 15% | - Business continuity - Risk measurement & control - AML & KYC requirements - Operational risk identification |
| Regulatory Capital & Governance | 10% | - Risk governance & internal controls - Capital adequacy framework - ICAAP & SREP |
GARP International Certificate in Banking Risk and Regulation (ICBRR) Sample Questions:
1. Which one of the following four statements about the "market-maker" trading strategy is INCORRECT?
A) This strategy is independent of market liquidity and number of other market makers.
B) This risk in this strategy is that traders have to take positions that may quickly incur a loss.
C) A market maker can benefit from the market information she gets from the trades she is asked to execute.
D) A market maker that attracts buy and sell orders can make a profit from the spread quoted between the buy and sell price.
2. Over a long period of time DeltaBank has amassed a large equity option position. Which of the following risks should be considered in this transaction?
I. Counterparty risk on long OTC option positions
II. Counterparty risk on short OTC option positions
III. Counterparty risk on long exchange-traded option positions
IV.
Counterparty risk on short exchange-traded option positions
A) II, III, IV
B) I, II
C) II, III
D) I
3. James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for $87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:
A) 3.15%.
B) 2.90%.
C) 2.81%.
D) 2.64%.
4. Which of the following statements are reasons for mathematical valuation and risk assessment models to be misleading or inaccurate?
I. There could be missing factors in models.
II. The data used as input for the model could be bad or wrong.
III. Model results could be misinterpreted.
IV.
There could be errors in the derivation of the model.
A) I, III, and IV
B) I, II, and III
C) III and IV
D) I, II, III IV
5. Which of the following measure describes the symmetry of a statistical distribution?
A) Mean
B) Standard deviation
C) Kurtosis
D) Skewness
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: D | Question # 3 Answer: D | Question # 4 Answer: D | Question # 5 Answer: D |
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