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If treasury assets r withdrawn before maturity, what type of risk is it?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
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
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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