Quản trị rủi ro ngân hàng - Bộ câu hỏi trắc nghiệm (câu 1–62)
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Câu 1. In banking, risk management is the process by which managers identify, measure, monitor and ______ the risks of the bank's activities.
- A. avoid (eliminate)
- B. hide from supervisors
- C. control (mitigate)
- D. transfer to depositors
Câu 2. Which statement correctly distinguishes speculative risk from pure risk?
- A. Speculative risk is usually insurable, while pure risk is not
- B. Pure risk can bring a gain or a loss, while speculative risk brings only a loss
- C. Speculative risk can bring a gain, a loss or no change, while pure risk brings only a loss or no loss
- D. Pure risk affects the whole economy, while speculative risk affects only one firm
Câu 3. Why is high leverage a key source of risk for banks?
- A. Debt funds about 90% of assets, so a small fall in asset values can wipe out equity
- B. Equity funds most assets, so shareholders absorb every loss before depositors
- C. Most deposits are long-term, so banks are protected from sudden withdrawals
- D. High leverage always raises return on assets, which encourages risk taking
Câu 4. Icy roads increase the chance of traffic accidents. One day, a bank's armoured car crashes and is badly damaged. In this case, the hazard and the peril are:
- A. Hazard: the crash; peril: the icy roads
- B. Hazard: the damage to the car; peril: the crash
- C. Hazard: the icy roads; peril: the damage to the car
- D. Hazard: the icy roads; peril: the crash
Câu 5. A bank has just identified and listed all the risks of a new digital lending product. In the risk management process, what should it do next?
- A. Monitor the risks and report them to the board
- B. Measure the risks (estimate the likelihood and size of losses)
- C. Buy insurance to transfer all of the risks
- D. Launch the product and review the losses after one year
Câu 6. Bank X's credit policy targets lower-rated SMEs and consumer borrowers. It accepts a higher expected default rate in exchange for much higher loan margins. Bank X's risk appetite in lending is best described as:
- A. Risk-seeking: it takes on more credit risk to pursue higher returns
- B. Risk-averse: it charges higher margins, so it is protected from risk
- C. Risk-neutral: it ignores the level of credit risk and looks only at loan volume
- D. Risk-free: higher margins fully offset any default losses
Câu 7. The two key objectives of bank risk management are:
- A. Maximising loan growth and minimising deposit costs
- B. Avoiding all risks and paying the highest dividends
- C. Setting economic capital and allocating it
- D. Cutting staff costs and closing unprofitable branches
Câu 8. Which pair consists ONLY of pure risks?
- A. Fire at a branch; changes in exchange rates
- B. Death of a key employee; flood damage to the data centre
- C. Theft of cash from a vault; a fall in share prices
- D. Launch of a new card product; a lawsuit against the bank
Câu 9. The investment department of a bank sells and trades securities. Which risks mainly arise from this activity?
- A. Credit risk from retail lending only
- B. Reputational risk from branch services
- C. Market risk and liquidity risk
- D. Strategic risk from poor planning only
Câu 10. The failure of one bank can spread to other banks and to the whole economy. This feature of banks is called the:
- A. Financial leverage effect
- B. Diversification effect
- C. Contagion (spill-over) effect
- D. Hedging (offsetting) effect
Câu 11. A bank records about 12 card-fraud losses per year with an average severity of VND 50 million per event. What is the expected total cost of this loss type per year?
- A. VND 600 million
- B. VND 62 million
- C. VND 50 million
- D. VND 4.17 million
Câu 12. Bank P has a CAR of 9%. It makes many new loans, so its RWA rises, while its capital stays the same. What happens?
- A. Its CAR rises above 9%
- B. Its CAR falls and moves closer to the 8% minimum
- C. Its CAR stays at 9%
- D. Its Tier 1 capital rises automatically
Câu 13. A bank has total risk-weighted assets of VND 25,000 billion. What is the minimum total capital it must hold at a CAR of 8%?
- A. VND 312.5 billion
- B. VND 3,125 billion
- C. VND 200 billion
- D. VND 2,000 billion
Câu 14. A bank holds a large government bond portfolio. Market interest rates may rise or fall, and bond prices will move in the opposite direction. How should this risk be classified?
- A. Speculative and non-diversifiable (market risk)
- B. Pure and diversifiable (operational risk)
- C. Pure and non-diversifiable (natural disaster)
- D. Speculative and diversifiable (credit risk)
Câu 15. Market risk is the possibility of loss arising from:
- A. Borrowers or counterparties failing to repay their loans on time
- B. Failed internal processes, people and systems, or external events
- C. The bank being unable to raise funds when deposits are withdrawn
- D. Adverse moves in interest rates, FX rates and equity prices
Câu 16. Value at Risk (VaR) is defined as:
- A. The average loss in the worst cases that lie beyond the confidence level
- B. The maximum loss over a given horizon at a given confidence level
- C. The largest loss the bank has ever recorded in its trading history
- D. The total market value of the trading book on the reporting date
Câu 17. The trading book of a bank mainly contains:
- A. Instruments held for short-term trading or hedging
- B. Long-term loans granted to retail and corporate customers
- C. Debt securities that the bank plans to hold until maturity
- D. Buildings, equipment and other fixed assets of the bank
Câu 18. Expected Shortfall (ES) is also known as:
- A. Stressed VaR (sVaR)
- B. Incremental Risk Charge (IRC)
- C. Conditional VaR (Expected Tail Loss)
- D. Marginal VaR (Component VaR)
Câu 19. Which property is the most important property of a coherent risk measure?
- A. Monotonicity
- B. Subadditivity
- C. Positive homogeneity
- D. Translation invariance
Câu 20. 'Monthly VaR is USD 1 million at the 95% confidence level' means that:
- A. The portfolio will lose exactly USD 1 million in every single month
- B. In about 19 months out of 20, the loss will not exceed USD 1 million
- C. The loss will be larger than USD 1 million in 95% of all months
- D. USD 1 million is the largest loss that can ever happen
Câu 21. What is a main weakness of VaR?
- A. It cannot be computed for a portfolio with many asset classes
- B. It is too difficult to understand
- C. It does not show how large losses can be beyond the VaR level
- D. It does not depend on the confidence level
Câu 22. Why is Expected Shortfall often preferred to VaR?
- A. ES is always subadditive and shows tail loss size
- B. ES is always smaller than VaR
- C. ES needs no historical data or model assumptions
- D. ES ignores the losses that fall beyond the VaR level
Câu 23. Shares bought by a bank to sell within a few days for short-term profit should be placed in the:
- A. Banking book
- B. Off-balance sheet book
- C. Trading book
- D. Held-to-maturity book
Câu 24. A main advantage of historical simulation VaR is that it:
- A. Does not assume a particular distribution of returns
- B. Adapts quickly to new market conditions
- C. Needs no historical data
- D. Always gives a lower VaR than other methods
Câu 25. A portfolio holds 70% in asset 1 (expected return 12%) and 30% in asset 2 (expected return 5%). What is the portfolio expected return?
- A. 8,50%
- B. 9,90%
- C. 17,00%
- D. 8,40%
… và còn 37 câu nữa. Bấm Vào thi phía trên để làm toàn bộ 62 câu và xem đáp án.
