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【操作风险管理与测量】FRM二级每日练习题

发表时间:2015-03-04 来源:金程frm 告诉小伙伴:
【编者按】【操作风险管理与测量】FRM二级每日练习题
 【操作风险管理与测量】FRM二级每日练习题
 
The chief Risk Officer of your bank has put you in charge of operational risk management. As a first step, you collect internal data to estimate the frequency and severity of operational-risk-related losses. The table below summarizes your findings:

Frequency Distribution

Severity Distribution

Probability

Frequency

Probability

Severity

0.6

0

0.5

USD 1,000

0.3

1

0.4

USD 100,000

0.1

2

0.1

USD 1,000,000

Based on this information, what is your estimate of the expected loss due to operational risk?

A.     USD 20,000

B.     USD 70,250

C.     USD 130,600

D.     USD 140,500

Answer: B

Scenario

Loss

Probability

Loss×Probability

0

-

0.60

-

1

1,000

0.15

150

1

100,000

0.12

12,000

1

1,000,000

0.03

30,000

2

2,000

0.03

50

2

200,000

0.02

3,200

2

2,000,000

0.00

2,000

2

101,000

0.04

4,040

2

1,001,000

0.01

10,010

2

1,100,000

0.01

8,800

 

 

EL

70,250

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