最新的PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition - 8008免費考試真題
A portfolio has two loans, A and B, each worth $1m. The probability of default of loan A is 10% and that of loan B is 15%. The probability of both loans defaulting together is 1%. Calculate the expected loss on the portfolio.
正確答案: B
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A bank expects the error rate in transaction data entry for a particular business process to be 0.005%. What is the range of expected errors in a day within +/- 2 standard deviations if there are 2,000,000 such transactions each day?
正確答案: D
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Under the CreditPortfolio View approach to credit risk modeling, which of the following best describes the conditional transition matrix:
正確答案: C
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Which of the following cannot be used to address the issue of heavy tails when modeling market returns
正確答案: D
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Which of the following correctly describes survivorship bias:
正確答案: D
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Which of the following are ordered correctly in the order of debt seniority in a bankruptcy situation?
I. Equity, Subordinate debt, Senior debt
II. Senior debt, Preferred stock, Equity
III. Secured debt, Accounts payable, Preferred stock
IV. Secured debt, DIP financing, Equity
I. Equity, Subordinate debt, Senior debt
II. Senior debt, Preferred stock, Equity
III. Secured debt, Accounts payable, Preferred stock
IV. Secured debt, DIP financing, Equity
正確答案: A
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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
正確答案: B
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When considering a request for a loan from a retail customer, which of the following factors is relevant for a bank to consider:
正確答案: C
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As part of designing a reverse stress test, at what point should a bank's business plan be considered unviable (ie the point where it can be considered to have failed)?
正確答案: A
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Which of the following statements is true:
I. Basel II requires banks to conduct stress testing in respect of their credit exposures in addition to stress testing for market risk exposures II. Basel II requires pooled probabilities of default (and not individual PDs for each exposure) to be used for credit risk capital calculations
I. Basel II requires banks to conduct stress testing in respect of their credit exposures in addition to stress testing for market risk exposures II. Basel II requires pooled probabilities of default (and not individual PDs for each exposure) to be used for credit risk capital calculations
正確答案: D
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Under the KMV Moody's approach to credit risk measurement, how is the distance to default converted to expected default frequencies?
正確答案: A
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Which of the following is true in relation to a Contingency Funding Plan (CFP)?
I. A CFP is like a disaster recovery plan to deal with a liquidity crisis II. A CFP should consider market stress conditions, but failures of payment systems are not relevant as they fall under the remit of operational risk III. Reputational damage may result if the market finds out that a firm has had to execute its CFP IV. Sources of emergency funding considered in the CFP should include the role of the central bank as the lender of last resort
I. A CFP is like a disaster recovery plan to deal with a liquidity crisis II. A CFP should consider market stress conditions, but failures of payment systems are not relevant as they fall under the remit of operational risk III. Reputational damage may result if the market finds out that a firm has had to execute its CFP IV. Sources of emergency funding considered in the CFP should include the role of the central bank as the lender of last resort
正確答案: C
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Which of the following distributions is generally not used for frequency modeling for operational risk
正確答案: A
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When compared to a medium severity medium frequency risk, the operational risk capital requirement for a high severity very low frequency risk is likely to be:
正確答案: B
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Conditional VaR refers to:
正確答案: C
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