12.10 Past Exam Questions

Concepts

• \(\star \star\) 2013 #8 b f g h 12.1: Correlations, internal benchmarking

• \(\star\) 2014 #8 12.2: internal systemic risk 3 components; risk indicator for each LoB for each risk component; Score the risk indicators

• \(\star\) 2014 #11 12.3: External systemic risk and which lines impact the most

• \(\star\) 2015 #8 12.4: Internal source, external source

• \(\star\) 2015 #9 12.5: Internal benchmark

• \(\star\) 2016 #10 12.6: int and ext sys risk and exampless, valuation class pick

• TIA 2: Method for estimating internal CoV

• \(\star\) TIA 3: Classification of risk categories (int. and ext.)

• TIA 4: Pick the more important risk

• TIA 5: legislative risk

• TIA 8: How to model the risk

Calculations

• \(\star\) 2013 #8 a c d e 12.1: Correlations, risk margins

• 2015 #8 d: Independent CoV

• TIA 1: risk margin calculation

• TIA 6: Find CoV and risk margin

• \(\star\) TIA 7: CoV calc

  1. Internal sys risk weighted by libailities amount

  2. Combine all risk sources

  3. Significance of a give risk source (based on weight)

  4. Calculate change

  5. Calculate change assuming full dependencies

• \(\star \star\) TIA 9: CoV Calculation and risk margin full calc

12.10.1 Question Highlights

Figure 12.1: 2013 Question 8

Figure 12.1: 2013 Question 8

Figure 12.1: 2013 Question 8

Figure 12.1: 2013 Question 8

Figure 12.2: 2014 Question 8

Figure 12.2: 2014 Question 8

Figure 12.3: 2014 Question 11

Figure 12.3: 2014 Question 11

Figure 12.3: 2014 Question 11

Figure 12.4: 2015 Question 8

Figure 12.4: 2015 Question 8

Figure 12.4: 2015 Question 8

Figure 12.5: 2015 Question 9

Figure 12.5: 2015 Question 9

Figure 12.6: 2016 Question 10

Figure 12.6: 2016 Question 10

Figure 12.6: 2016 Question 10