PRMIA Operational Risk Manager (ORM) - 8010무료 덤프문제 풀어보기
Which of the following statements are true:
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%
정답: C
설명: (Fast2test 회원만 볼 수 있음)
For a 10 year interest rate swap, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)
정답: C
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)
Which of the following statements are true:
I. The sum of unexpected losses for individual loans in a portfolio is equal to the total unexpected loss for the portfolio.
II. The sum of unexpected losses for individual loans in a portfolio is less than the total unexpected loss for the portfolio.
III. The sum of unexpected losses forindividual loans in a portfolio is greater than the total unexpected loss for the portfolio.
IV. The unexpected loss for the portfolio is driven by the unexpected losses of the individual loans in the portfolio and the default correlation between these loans.
I. The sum of unexpected losses for individual loans in a portfolio is equal to the total unexpected loss for the portfolio.
II. The sum of unexpected losses for individual loans in a portfolio is less than the total unexpected loss for the portfolio.
III. The sum of unexpected losses forindividual loans in a portfolio is greater than the total unexpected loss for the portfolio.
IV. The unexpected loss for the portfolio is driven by the unexpected losses of the individual loans in the portfolio and the default correlation between these loans.
정답: D
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)
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)
Changes in which of the following do not affect the expected default frequencies (EDF) under the KMV Moody's approach to credit risk?
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the beloware a way to classify risk governance structures:
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Concentration risk in a creditportfolio arises due to:
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following statements are true:
I.Top down approaches help focus management attention on the frequency and severity of loss events, while bottom up approaches do not.
II. Top down approaches rely upon high level data while bottom up approaches need firm specific risk data to estimate risk.
III. Scenario analysis can help capture both qualitative and quantitative dimensions of operational risk.
I.Top down approaches help focus management attention on the frequency and severity of loss events, while bottom up approaches do not.
II. Top down approaches rely upon high level data while bottom up approaches need firm specific risk data to estimate risk.
III. Scenario analysis can help capture both qualitative and quantitative dimensions of operational risk.
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following statements are true:
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I byincreasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I byincreasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks
정답: C
설명: (Fast2test 회원만 볼 수 있음)
Which of the following credit risk models considers debt as including a put option on the firm's assets toassess credit risk?
정답: B
설명: (Fast2test 회원만 볼 수 있음)
For a FX forward contract, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)
정답: B
설명: (Fast2test 회원만 볼 수 있음)
Which of the following decisions need to be made as part of laying down a system for calculating VaR:
I. How returns are calculated, eg absoluted returns, log returns or relative/percentage returns II. Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically III. Whether binary/digital options are included in the portfolio positions IV. How volatility is estimated
I. How returns are calculated, eg absoluted returns, log returns or relative/percentage returns II. Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically III. Whether binary/digital options are included in the portfolio positions IV. How volatility is estimated
정답: B
설명: (Fast2test 회원만 볼 수 있음)