CAIIB BFM recollected on 09.06.2019

Re-collected questions posted by our members
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Theory based paper (60-70% theory)
1. Case study maculay and modified duration 5 marks
2. Case study on time buckets 5 marks
3. Case study on DA DL RSA RSL 5 marks
4. Case study on LC 5 marks (Applicant, confirming bank, Expiry date bill lading, whether partial shipment or not)
5. Case study on forex 5 marks
6. Case study on NRI NRO FCNR 5 Marks
7. Case study on forex exchange-purchase/cancellation/rebook of order.
8. Case study on bucket model of volatile and core type funds-interest sensitive asset-non interest sensitive asset
9. Numerical from examples of chapter 1 of Forex
10. Numerical from interest rate Sensitive assets & liabilities
11. Bond calculation 5 mark
12. ALM bucket allocation 5 marks
13. Two hands case study
14. Treasury office functioning case study (Back office mid office function)
15. Structured derivatives 5 Mark
16. Problems on TT buying, Selling

1. Direct rates which currency with respect to USD?
2. Ripple effect which risk?
3. Country risk is type of which risk?
4. Case study on LC-correspondent banking.
5. RTGS Plus?
6. Case study on UCPDC
7. LCR which currency?
8. Case study on LCR
9. Identification of type of LC from options.
10. Case study on derivative deal.
11. Function of ECGC
12. Risk management control steps.
13. YTM
14. Meaning of 'Mark to Market'?
15. Banking Book and Trading Book
16. Dimond dollar account
17. Under AMA approach estimated level of operational risk calculated on the basis of?
18. Calculation of Basis Point Value
19. Defination of VaR
20. Stress Testing
21. Defination body Term Money
22. Reduction of SLR-effect?
23. Special Non Resident Rupee (SNRR) account
24. Part of SLR
25. SWIFT
26. Stop loss trigger/ profit trigger case study
27. Forward contract- OTC or exchange traded?
28. Tier 1 capital comprises of?
29. Liquidity Risk
30. Extended loan for economic development- which type of loan?
31. Risk and Basel many questions asked
32. bucket SB & CA
33. NRE
34. FCNR A/c
35. Liquid assets
36. What is SNRR AC?
37. In which ratio off balance item and on balance item considered?
38. Treasury products
39. Transfer pricing
40. ALM many questions
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Case study on Macaulay duration

Face Value of Security Rs. 100
coupon rate 8% biannually
Maturity 4 year
YTM 10%

Calculate

01. Maculay Duration in half yearly
02. Maculay duration in years
03. Modified duration
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Calculation of Economic Value of Equity
Net Worth = 1350.00
Risk Sensitive Asset (RSA) = 18251.00
Risk Sensitive Liability (RSL) = 18590.00
Weight Modified Duration of Asset (DA) = 1.96
Weight Modified Duration of Liability (DL) = 1.25

01. What is Weight (W)?

a. 1
b. 1.02
c. 1.33
d. 1.66

Ans - b

Solution:
Calculate weight (W) = RSL/RSA
=18590/18251
=1.018
=1.02
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02. What is DGAP?

a. 0.33
b. 0.48
c. 0.69
d. 0.81

Ans - c

Solution
DGAP (modified duration gap) = DA - (W*DL)
= 1.96 - (1.02*1.25)
= 1.96 - 1.1275
= 0.685
= 0.69
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03. What is Leverage Ratio?

a. 12.33
b. 13.22
c. 13.52
d. 13.66

Ans - c

Solution
Leverage ratio= RSA/ Networth
= 18251/1350
= 13.52
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04. What is Modified Duration of Equity?

a. 6.33
b. 7.33
c. 8.33
d. 9.33

Ans - d

Solution:
Modified duration of equity (MD) = DGAP * leverage ratio
= 0.69 * 13.52
= 9.3288
= 9.33 years
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05. If there is 200 bp change in Rate what is drop in Equity Value?

a. 18.66
b. 20.33
c. 22.66
d. 24.33

Ans - a

Solution
Equity value=Change in rate (BP)*MD
=200*9.33/100
=18.6576
=18.66%
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