PRMIA Credit and Counterparty Manager (CCRM) Certificate - 8011무료 덤프문제 풀어보기
Monte Carlo simulation based VaR is suitable in which of the following scenarios:
I). When no assumption can be made about the distribution of underlying risk factors
II). When underlying risk factors are discontinuous, show heavy tails or are otherwise difficult to model
III). When the portfolio consists of a heterogeneous mix of disparate financial instruments with complex correlations and non-linear payoffs
IV). A picture of the complete distribution is desired in addition to the VaR estimate
I). When no assumption can be made about the distribution of underlying risk factors
II). When underlying risk factors are discontinuous, show heavy tails or are otherwise difficult to model
III). When the portfolio consists of a heterogeneous mix of disparate financial instruments with complex correlations and non-linear payoffs
IV). A picture of the complete distribution is desired in addition to the VaR estimate
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):
정답: C
Which of the following is not a measure of risk sensitivity of some kind?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
A derivative contract has a negative current replacement value. Which of the following statements is true about its loan equivalent value for credit risk calculations over a 2-year horizon?
정답: C
설명: (Fast2test 회원만 볼 수 있음)
An assumption of normality when returns data have fat tails leads to:
I. underestimation of VaR at high confidence levels
II. overestimation of VaR at low confidence levels
III. overestimation of VaR at high confidence levels
IV. underestimation of VaR at low confidence levels
I. underestimation of VaR at high confidence levels
II. overestimation of VaR at low confidence levels
III. overestimation of VaR at high confidence levels
IV. underestimation of VaR at low confidence levels
정답: B
설명: (Fast2test 회원만 볼 수 있음)
Under the contingent claims approach to measuring credit risk, which of the following factors does NOT affect credit risk:
정답: D
설명: (Fast2test 회원만 볼 수 있음)
Which of the following statements are true:
I. Stress tests should consider simultaneous pressures in funding and asset markets, and the impact of a reduction in liquidity II. Judging the effectiveness of risk mitigation techniques is not a part of stress testing III. A reverse stress test is useful for discovering hidden vulnerabilities and inconsistencies in hedging strategies IV. Reputational risk, which is explicitly excluded from the definition of operational risk under Basel II, should still be considered as part of stress tests.
I. Stress tests should consider simultaneous pressures in funding and asset markets, and the impact of a reduction in liquidity II. Judging the effectiveness of risk mitigation techniques is not a part of stress testing III. A reverse stress test is useful for discovering hidden vulnerabilities and inconsistencies in hedging strategies IV. Reputational risk, which is explicitly excluded from the definition of operational risk under Basel II, should still be considered as part of stress tests.
정답: B
설명: (Fast2test 회원만 볼 수 있음)
A Bank Holding Company (BHC) is invested in an investment bank and a retail bank. The BHC defaults for certain if either the investment bank or the retail bank defaults. However, the BHC can also default on its own without either the investment bank or the retail bank defaulting. The investment bank and the retail bank's defaults are independent of each other, with a probability of default of 0.05 each. The BHC's probability of default is 0.11.
What is the probability of default of both the BHC and the investment bank? What is the probability of the BHC's default provided both the investment bank and the retail bank survive?
What is the probability of default of both the BHC and the investment bank? What is the probability of the BHC's default provided both the investment bank and the retail bank survive?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
What percentage of average annual gross income is to be held as capital for operational risk under the basic indicator approach specified under Basel II?
정답: A
설명: (Fast2test 회원만 볼 수 있음)
Random recovery rates in respect of credit risk can be modeled using:
정답: C
설명: (Fast2test 회원만 볼 수 있음)
For a back office function processing 15,000 transactions a day with an error rate of 10 basis points, what is the annual expected loss frequency (assume 250 days in a year)
정답: C
설명: (Fast2test 회원만 볼 수 있음)