【操作風(fēng)險(xiǎn)管理與測(cè)量】FRM二級(jí)每日練習(xí)題
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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