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GARP ICBRR Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Market Risk Management | 20% | - Interest rate risk - Foreign exchange risk - Equity & commodity risk - VaR and stress testing |
| Topic 2: Regulatory Capital & Governance | 10% | - Risk governance & internal controls - Capital adequacy framework - ICAAP & SREP |
| Topic 3: Credit Risk Management | 25% | - Credit risk measurement - Credit risk mitigation - Counterparty credit risk - Capital requirements for credit risk |
| Topic 4: Operational Risk Management | 15% | - Business continuity - Operational risk identification - AML & KYC requirements - Risk measurement & control |
| Topic 5: Banking Industry & Regulatory Framework | 15% | - Banking business models - Risk-based supervision - Basel Accords overview |
| Topic 6: Liquidity & ALM | 15% | - Funding strategies - Liquidity risk principles - Liquidity coverage ratios - Asset & Liability Management |
GARP International Certificate in Banking Risk and Regulation (ICBRR) Sample Questions:
1. A portfolio manager is interested in computing risk measures for his bond investment portfolio. Which of the following measures the sensitivity of duration to interest rates?
A) Credit spread.
B) Yield curve
C) Convexity.
D) Modified duration.
2. Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta defaults, the bank expects to lose 50% of its promised payment.
What may happen to the Delta's initial credit parameter and the value of its loan if the machinery industry experiences adverse structural changes?
A) Probability of default and loss at default may decrease simultaneously, while duration rises causing the loan value to decrease.
B) Probability of default and loss at default may decrease simultaneously, while duration falls causing the loan value to decrease.
C) Probability of default and loss at default may increase simultaneously, while duration falls causing the loan value to decrease.
D) Probability of default and loss at default may increase simultaneously, while duration rises causing the loan value to decrease.
3. James Johnson manages a bond portfolio with all investment grade bonds. Adding which of the following bonds would minimize the credit risk of his portfolio?
A) A
B) C
C) B
D) D
4. Which one of the four following activities is NOT a component of the daily VaR computing process?
A) Updating individual risk factor models.
B) Updating factor interrelationships.
C) Computing portfolio risk by delta-normal or delta-gamma method.
D) Producing the VaR report.
5. Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following features EXCEPT:
A) Counterparty risk creates a two-way credit exposure
B) Collateral arrangements are typically static in nature
C) Exposure at default may be negatively correlated to the probability of default
D) Exposures can often be netted
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: C | Question # 3 Answer: A | Question # 4 Answer: C | Question # 5 Answer: B |






