ACI ACI Certifications 3I0-012 Questions & Answers

• Question 601:

  Under Basel rules the risk weight for claims on unrated sovereigns and their central banks in the standardized approach is:

  A. 50%

  B. 75%

  C. 100%

  D. 150%

  Correct Answer: D

• Question 602:

  Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

  A. 1 minus recovery rate, probability of default and exposure at default

  B. exposure at origination, exposure at default and loss given default

  C. loss given default, 1 minus recovery rate and exposure at default

  D. exposure at origination, recovery rates and probability of default

  Correct Answer: B

• Question 603:

  Under Basel Rules, the Basic Indicator Approach is a regulatory framework for:

  A. liquidity risk

  B. business risk

  C. operational risk

  D. funding risk

  Correct Answer: B

• Question 604:

  VaR increases with:

  A. lower correlation of underlying risk factors

  B. a shorter time horizon

  C. a lower confidence level

  D. a higher confidence level

  Correct Answer: C

• Question 605:

  The weighted average duration of liabilities can be increased by:

  A. buying additional 30-year German Government bonds

  B. selling futures contracts on 30-year German Government bonds

  C. buying futures contracts on 10-year German Government bonds

  D. exercising an early repayment option on a long-term senior borrowing

  Correct Answer: D

• Question 606:

  Prudential regulation of banking book liquidity risk is dealt with by the Basel Committee (Basel II / Basel III) in the context of:

  A. capital adequacy regulations in Pillar 1

  B. market risk and Tier 3 capital elements

  C. internal management procedures subject to supervisory review in Pillar 2

  D. market discipline, disclosure and transparency in Pillar 3

  Correct Answer: B

• Question 607:

  What is interest rate immunization in the context of bank gap management?

  A. the strategy of holding more interest rate sensitive assets than interest rate sensitive liabilities

  B. the strategy of holding fewer interest rate sensitive assets than interest rate sensitive liabilities

  C. reducing the size of the balance sheet

  D. structuring a bank's portfolio so that its net interest revenue and/or the market value of its portfolio will not be adversely affected by changes in interest rates

  Correct Answer: C

• Question 608:

  The Liquidity Coverage Ratio (LCR) in Basel III:

  A. is a new rule that compares liquid asset levels in banks to their available equity capital

  B. spells out a modernized system for calculating the required minimum reserve that banks must hold at the central bank

  C. compares liquid and reliably liquidating assets to expected cash outflows from specified run-off rates for various liability classes under a short-term stress scenario

  D. tied directly into the internal ratings-based approach for determining the liquidity of creditcounterparties

  Correct Answer: B

• Question 609:

  Complete the following sentence. If a bank has an asset repricing in 6 months funded by a liability repriced in 3 months:

  A. the bank would benefit from higher interest rates

  B. the bank could hedge this interest rate risk with a 3x6 derivative

  C. the bank will make mark-to-market losses if rates decrease

  D. the bank could hedge this interest rate risk by selling a 6x9 derivative

  Correct Answer: A

• Question 610:

  Which of the following statements about leverage ratios under Basel III is correct?

  A. The leverage ratio is the ratio of the bank's Tier 1 Capital to total assets of the bank, excluding its off-balance sheet exposures and derivatives.

  B. The purpose of introducing a leverage ratio is to avoid the build-up of excess leverage that could potentially lead to a "credit crunch" in stressed conditions.

  C. The leverage ratio under Basel III must be higher than 4%.

  D. The leverage ratio is the ratio of the bank's Tier 1 and Tier 2 Capital to total assets of the bank, including its off-balance sheet exposures and derivatives.

  Correct Answer: B