BFM Recollected questions::
Daily votality
is 5% 2.5 Find modified duration - Ans is 2.38
STRIPS
(Separate Trading of Registered Interest and Principal Securities) is a ......
zero-coupon securities
Which is not a
derivative product ? - Repo (Swap, Option, Forward, Repo)
ECB limit -
USD 500 mn up to minimum period of 5 years and USD 20 mn up to minimum period
of 3 years without prior approval of RBI
ECB is
denominated in which currencies.....USD, Euro or JPY
Consessive
rate of interest on postshipment rupee export credit to gold card status holder
can be extended maximum - 365 days
One importer
want import one machine from China.He has to open lc. The exporter wants
advance payment. What type lc - red clause
Value at risk
is a measure of? Gap risks in foreign exchange operations
Which office
not under treasury ? Options given r Mid office, back office, front office,
legal office*,
Under standard
assets, provision for loss, RSV should be?? Ans - less than 10%
If interest of
principle is not serviced for 90 days, what is the position of account? ans-
outof order
Basel 3 teir 1
components. (Plz remember that Revaluation reserve is also now under Teir 1)
If treasury
assets r withdrawn before maturity, what type of risk is it? ,
A 91 Day T
bill of 93.21 wl have yield of?
If 91 days
treasury is 88., then its implied yield is?
ICAAP is
related to?
ADR related
question
Double forward
is called what ?
Related to Nro
account
Nro account
can be opened as sb,CA,FD type
Derivatives
also lot of questions
Advising bank
roles ... Like what he can do what can't
INCOTERM
IRS
Swap
Risk weightage
Lot of RWAs
questions
Which is not
included in calculation of NDTL/DTL for CRR/SLR
Component of
tier 1
Rwa as per
Basel III for housing loan based on LTV
Many questions
sellect correct or incorrect about NRO NRE FCNR ECB EEFC CCIL
Estimated
occurence of probability
Questions on
currency derivatives, forwards, swaps
Forex market
characteristics
One question
related to embedded option risk
As per basic
indicator approach calculation of capital charge 15% of average gross income
over there years given but one of the year is having negative one that we have
to ignore.
8.83GS2023price100.49
with yield 8.75 .....just it is given and based on this statement he asked for
5marks
Crystallization
period for export
One question
on American and europian option
Capital charge
on operational risk based on standardized approach and basic indicator approach
Questions on
ADR AND GDR
Questions on
option and forward contact, future
Loan To Value
Ratio
Risk Weight %
Swap
Defination , ADR and INCOTERMS
RWA
calculation for operational risk under Standardized approach
DGAP
Conceptual
question on FCNR, RFC, NRO, NRE
Operational
risk calculation all approaches
Modified
duration
Tier 1 n tier
2 numerical
LC based case
studies for 5 marks
Basic
inducater appoach market risk 5 number
Modified
duration of equity5 ques
Calculations
of capital adequacy ratio quite a few questions
10 questions
at from various risks associated with Treasury operations
Interest rate
swap 5 questions
Bill buying 5
questions
EXCHANGE RATE
AAA A BB
Rating Chart Questions for Risk Weighted Calculations
Yield
Calculation
W RSA,RSL
NUMERICAL
RATED BOND
NUMERICAL
Yeild of bond
numerical
BASIC INDICATOR
APPROACH NUMERICAL
BPV
Forex
t.bill
Leverage
Forward
contact
CRAR
Operational
risk
Treasury
theoritical
60question
theory easy
No ques from
volatility and bpv
Call risk
problems
packing credit
problems
Rsl. Rsa.. Md
problems
Leveage ratio
related case study
BASEL III Tier
1 Tier 2 capital Minimum equity ratio related
BFM Book page
no 415 ICCAP related question
BFM Book page
no 443 stock approach related 05 question
BFM Book page
no 477 - RSL/RSA/DGAP/Modified Duration Gaps
BFM Book page
no 20 - Export Bill 5 marks
BFM Book page
no 295 - Estimated level of Operational Risk
Case study
numerical-TEIR 1 TEIR 2 CAPITAL CONVERSION BUFFER QUESTION BASEL ON BASEL3
Case study on
RFC account 5 marks
Case study on
forex exchange buying commission etc 5marks
Case study on
mkdified duration gap 5marks
VAR - 1
QUESTION
TEIR 1
COMPONENT-2 QUESTION
CBLO- 1
QUESTIOn
Case Studies
on
1.
Cancellation of contract
2. NRE/NRO POA
3. RWA
4. MEAN &
SD
5. SLR
6. YTM
7. SHORT LERM
& LONG TERM GAP ASSET VS Liabilities
8. NII &
NIM
9. Tier1,
Tier2
10. Capital
adequecy
11. Nostro
Vostro Loro
12. Daily
volatilty
13. Stop loss
limit
14.
Operational risk case study
15. Foreign
exchange numericals
16. Swap
numericals
17. Liquidity
case study
18. Forward
rate agreement 25 crore 3 month swap, three year three business line calculate
yield and risk weightage
19. Calculate
CET Basel 3
20. Calculate
Aadditional tier 1
...........................................
2 to 3
question duration
5 question
export bill(cancellation of contract rate, margin amount,rebook rate,etc)
5 question on
capital adequacy (balance sheet provided, compute equity capital, tier 1
capital, total rw, capital adequacy, buffer capital)
5 question on
nostro,loro vostro
5 question on
FRA
5 question on
net interest margin
2-3 question
on bonds
3-4 question
on LC
some 2-3 sums
on bpv
...........................................
1. Rate qoute
1 ques
2.LC partial delivery UCPDC
rule
3.FRA 6*9
dates of delivery and maturity
4.case study
on rules and guidelines regarding NRE, NRO and FCNR accounts- amt of
loan,POA,remittance,fund transfer limit etc
5.coupon
swaps,forward contracts
6.securitization-SPV
or Commercial bank allocation of assets
7.Case study
on NII,NIM,EER
8.Case study
on Cash flows,deviation during years,SD/mean
9.ECGC
insurance premium bear by?
10.CHIPS-USA
11.treasury
risk management 4-5 ques
12.European
put option
13.Authorises
person categ 2
14. ques on
BOP expansion
15.bank margin
calculation from rates
16.Stop loss
given- asked whether buy or sell at what rate to book profit or stop loss
17.monthly
volatility given-calculate daily volatility
18.modified
duration calculation
19.case study
on Nostro Vostro and Loro and Mirror accounts
20.which is
not an off balance sheet item of following
21.crystallisation
of sight bills 30 days
22.LC date expired due to bank
closed due to hurricane UCPDC rule
23.standard
ECGC policy cover-political risk
24.basel III -
tier 2 capital req of total risk wtd assets, pillar 3 def
25.standardised
approach and basic indicator approach and AMA all methods for operational risk
calcualtion
24. volatility
can also be measured by?
25.price
volatility depends on yield volatility,BPV,Yield and price
26.VaR related
2 ques theoretical
27.derivatives
hedge underlying risks
28.call risk
29.Maturity
ladder or baskets case study
30.provision
coverage ratio def
31.asset
liability mismatch
32. Bond ytm,current
yield 2-3 ques
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