PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition - 8008무료 덤프문제 풀어보기
For a given mean, which distribution would you prefer for frequency modeling where operational risk events are considered dependent, or in other words are seen as clustering together (as opposed to being independent)?
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following represents a riskier exposure for a bank: A LIBOR based loan, or an Overnight Indexed Swap? Which of the two rates is expected to be higher?
Assume the same counterparty and the same notional.
Assume the same counterparty and the same notional.
정답: A
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)
A risk analyst attempting to model the tail of a loss distribution using EVT divides the available dataset into blocks of data, and picks the maximum of each block as a data point to consider.
Which approach is the risk analyst using?
Which approach is the risk analyst using?
정답: D
설명: (Fast2test 회원만 볼 수 있음)
Which of the following statements are true:
I. The set of UoMs used for frequency and severity modeling should be identical II. UoMs can be grouped together into larger combined UoMs using judgment based on the knowledge of the business III. UoMs can be grouped together into combined UoMs using statistical techniques IV. One may use separate sets of UoMs for frequency and severity modeling
I. The set of UoMs used for frequency and severity modeling should be identical II. UoMs can be grouped together into larger combined UoMs using judgment based on the knowledge of the business III. UoMs can be grouped together into combined UoMs using statistical techniques IV. One may use separate sets of UoMs for frequency and severity modeling
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following is the most important problem to solve for fitting a severity distribution for operational risk capital:
정답: C
설명: (Fast2test 회원만 볼 수 있음)
If the 99% VaR of a portfolio is $82,000, what is the value of a single standard deviation move in the portfolio?
정답: C
설명: (Fast2test 회원만 볼 수 있음)
A statement in the annual report of a bank states that the 10-day VaR at the 95% level of confidence at the end of the year is $253m. Which of the following is true:
I. The maximum loss that the bank is exposed to over a 10-day period is $253m.
II. There is a 5% probability that the bank's losses will not exceed $253m III. The maximum loss in value that is expected to be equaled or exceeded only 5% of the time is $253m IV. The bank's regulatory capital assets are equal to $253m
I. The maximum loss that the bank is exposed to over a 10-day period is $253m.
II. There is a 5% probability that the bank's losses will not exceed $253m III. The maximum loss in value that is expected to be equaled or exceeded only 5% of the time is $253m IV. The bank's regulatory capital assets are equal to $253m
정답: B
설명: (Fast2test 회원만 볼 수 있음)
Under the CreditPortfolio View model of credit risk, the conditional probability of default will be:
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following measures can be used to reduce settlement risks:
정답: B
설명: (Fast2test 회원만 볼 수 있음)
A bank extends a loan of $1m to a home buyer to buy a house currently worth $1.5m, with the house serving as the collateral. The volatility of returns (assumed normally distributed) on house prices in that neighborhood is assessed at 10% annually. The expected probability of default of the home buyer is 5%.
What is the probability that the bank will recover less than the principal advanced on this loan; assuming the probability of the home buyer's default is independent of the value of the house?
What is the probability that the bank will recover less than the principal advanced on this loan; assuming the probability of the home buyer's default is independent of the value of the house?
정답: D
설명: (Fast2test 회원만 볼 수 있음)
Pick underlying risk factors for a position in an equity index option:
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option
정답: C
설명: (Fast2test 회원만 볼 수 있음)
A long position in a credit sensitive bond can be synthetically replicated using:
정답: B
설명: (Fast2test 회원만 볼 수 있음)
Which of the following methods cannot be used to calculate Liquidity at Risk?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
An asset has a volatility of 10% per year. An investment manager chooses to hedge it with another asset that has a volatility of 9% per year and a correlation of 0.9. Calculate the hedge ratio.
정답: C
설명: (Fast2test 회원만 볼 수 있음)