[2023年最新] 高合格率な最新8010テストノートと8010高合格率な試験ガイドを試そう
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PRMIA 8010 資格認定は、少なくとも2年間の運用リスク管理の経験を持つ専門家を対象としています。この認定プログラムは3つのレベルに分かれており、各レベルは前のレベルで習得した知識とスキルを基盤に構築されています。プログラムの最初のレベルは運用リスク管理の基礎をカバーし、二番目のレベルはモデリングや運用リスクの測定などの高度なトピックに焦点を当てています。プログラムの第三レベルは、前の2つのレベルで習得した知識とスキルを実世界のシナリオに適用できるかどうかを評価するために設計されています。
PRMIA 8010認定試験は、運用リスク管理または関連分野で少なくとも2年の経験がある専門家に開かれています。候補者は、実際のシナリオとケーススタディに基づいた100の複数選択の質問で構成される厳格な試験に合格する必要があります。試験の期間は3時間であり、候補者は認定を獲得するために60％以上の合格スコアを達成する必要があります。
Professional Risk Managers 'International Association（PRMIA）8010認定試験は、運用リスク管理を専門としたい個人向けに設計されています。この認定は世界的に認識されており、運用リスク管理の分野でお客様の専門知識を実証する優れた方法です。 PRMIA 8010認定試験は、キャリアを進め、運用リスク管理に関する知識を向上させたいリスクマネージャーにとって不可欠なツールです。
質問 # 135
Which of the following objectives are targeted by rating agencies when assigning ratings:
I. Ratings accuracy
II. Ratings stability
III. High accuracy ratio (AR)
IV. Ranked ratings
- A. II and III
- B. I, II and III
- C. I and II
- D. III and IV
正解：C
解説：
Explanation
Rating agencies target both accuracy and stability when they assign ratings. These two objectives can sometimes conflict, so a balance needs to be struck between the two. Rating agencies do not target anyparticular 'accuracy ratio' or rankings. Therefore Choice 'c' is the correct answer.
質問 # 136
CreditRisk+, the actuarial model for calculating portfolio credit risk, is based upon:
- A. the exponential distribution
- B. the log-normal distribution
- C. the normal distribution
- D. the Poisson distribution
正解：D
解説：
Explanation
CreditRisk+ treats default as a binary event, ignoring downgrade risk, capital structures of individual firms in the portfolio or the causes of default. It uses a single parameter, or the mean default rate, and derives credit risk based upon the Poisson distribution. Therefore Choice 'c' is the correct answer.
質問 # 137
Which of the following statements are correct?
I. A reliance upon conditional probabilities and a-priori views of probabilities is called the 'frequentist' view II. Knightian uncertainty refers to thingsthat might happen but for which probabilities cannot be evaluated III. Risk mitigation and risk elimination are approaches to reacting to identified risks IV. Confidence accounting is a reference to the accounting frauds that were seen in the past decadeas a reflection of failed governance processes
- A. All of the above
- B. II, III and IV
- C. I and IV
- D. II and III
正解：D
解説：
Explanation
In statistics, which is relevant to risk management, a distinction is often drawn between 'frequentists' and
'Bayesians'.Frequentists rely upon data to draw conclusions as to probabilities. Bayesians consider conditional probabilities, ie, take into account what things are already known, and inject sometimes subjective a-priori probabilities into the calculations. StatementI describes Bayesians, and not frequentists. In reality however, the difference is merely academic. Risk managers use whichever technique best applies to the given situation without making it about ideology.
The difference between 'Knightian uncertainty'and 'Risk' is similarly academic. Knightian uncertainty refers to risk that cannot be measured or calculated. 'Risk' on the other hand refers to things for which past data exists and calculations of exposure can be made. To give an example in the contextof the financial world, the risk from a pandemic creating systemic failures from a failure of payment and settlement systems and the like is
'Knightian uncertainty', but the market risk from equity price movements can be modeled (albeit with limitations) and is calculable. Statement II is therefore correct.
Once a risk is identified, it can be mitigated, accepted, avoided or eliminated, or transferred by way of insurance. Therefore statement III is correct.
Confidence accounting is a conceptual idea that suggests that accounting statements make reference to ranges as opposed to point estimates in financial statements. For example, instead of saying that the pension obligation is $xx million, the company should say the pension obligation is in a range of $xxm - $yy m with a certain confidence level. Statement IV is therefore inaccurate.
質問 # 138
Which of the following is not one of the 'three pillars' specified in the Basel accord:
- A. Minimum capital requirements
- B. Market discipline
- C. Supervisory review
- D. National regulation
正解：D
解説：
Explanation
The three pillars are minimum capital requirements, supervisory review and market discipline. National regulation is not a pillar described under the accord. Choice 'c' is the correct answer.
質問 # 139
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
- A. Neither statement is true
- B. I
- C. I & II
- D. II
正解：C
解説：
Explanation
The correct answer is choice 'b'
Both statements are accurate. Basel IIrequires pooled probabilities of default to be applied to risk buckets that contain similar exposures. Also, stress testing is mandatory for both market and credit risk.
質問 # 140
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)?
- A. Negative binomial
- B. Poisson
- C. Binomial
- D. Gamma
正解：A
解説：
Explanation
An interesting property that distinguishes the three most used distributions for modeling event frequency is that for a given mean, their variances differ. The ratio of variance to mean (the variance-mean ratio, calculated as variance/mean) can then be used to decide the kind of distribution to use. Both the variance and the mean can be estimated from available data points from the internal or external loss databases, or the scenario exercise.
The variance-mean ratio reflects how dispersed a distribution is. (In the PRMIA handbook, the variance to mean ratio has been described as the "Q-Factor".) The Poisson distribution has its mean equal to its variance, and therefore the variance to mean ratio is 1. For the negative binomial distribution, this ratio is always greater than 1, which means there is greater dispersion compared to the mean - or more intervals with low counts as well as more intervals with high counts. For the binomial distribution, the variance to mean ratio is less than one, which means it is less dispersed than the Poisson distribution with values closer to the mean.
In a situation where operational risk events are seen as clustering together, ordependent, the variance will be higher and it would be more appropriate to use the negative binomial distribution.
質問 # 141
Which of the following statements are true:
I. Heavy tailed parametricdistributions are a good choice for severity modeling in operational risk.
II. Heavy tailed body-tail distributions are a good choice for severity modeling in operational risk.
III. Log-likelihood is a means to estimate parameters for a distribution.
IV. Body-tail distributions allow modeling small losses differently from large ones.
- A. All of the above
- B. II, III and IV
- C. I and IV
- D. II and III
正解：A
解説：
Explanation
When modeling for operational risk, we are generally concerned with tail losses - this isbecause the horizon for operational risk is 1 year at the 99.9th percentile. Since the 99.9th percentile is in the tail region, we would like to ensure that the tails are modeled as accurately as possible. Operational risk distributions are modeled usingheavy tailed distributions.
Heavy tailed parametric distributions such as log-normal, pareto and others are therefore a good choice for modeling risk severity, therefore statement I is correct.
Body-tail distributions are combinations of parametric distributions, with different types of distributions being used to model the body and the tail - this provides flexibility because small and medium losses upto a threshold can be modeled using one distribution, and losses beyond the threshold can be modeled usinga different distribution that is a better estimate of the tail. Statement II is therefore correct.
A log-likelihood function simplifies the optimization of a regular likelihood function. We generally maximize (or minimize the risk functional) a likelihoodfunction with a view to estimating the parameters of the underlying distribution. If the likelihood function is complex, it may sometimes make it mathematically easier to optimize the log of the function - as that changes exponents and multiplications toadditions, while behaving in the same way as the underlying function. Therefore statement III is correct, log-likelihood is a means to estimate parameters for a distribution.
Statement IV is correct as body-tail distributions allow modeling different partsof the distribution differently from each other.
質問 # 142
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.
- A. III only
- B. II and III
- C. II only
- D. I only
正解：B
解説：
Explanation
Top down approaches do not consider event frequency and severity, on the otherhand they focus on high level available data such as total capital, income volatility, peer group information on risk capital etc. Bottom up approaches focus on severity and frequency distributions for events. Statement I is therefore not correct.
Top downapproaches do indeed rely upon high level aggregate data and tend to infer operational risk capital requirements from these. Bottom up approaches look at more detailed firm specific information. Statement II is correct.
Scenario analysis requires estimating losses from risk scenarios, and allows incorporating the judgment and views of managers in addition to any data that might be available from internal or external loss databases.
Statement III is correct. Therefore Choice 'b' is the correct answer.
質問 # 143
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
- A. All of the above
- B. II, III and IV
- C. IV only
- D. I, II and III
正解：B
解説：
Explanation
One may use separate UoMs for frequency and severity modeling, for example, a combined UoM may be used for estimating thefrequency of cyber attacks in a scenario, while the severity may be modeled using a more granular line-of-business UoM. Therefore statement I is false, while statement IV is true.Statement II is correct, UoMs can be grouped together into larger units based on the facts relating to the business, controls and the business environment. Similarly, UoMs can be grouped together based on statistical clustering techniques using the 'distance' between the units of measure and combining UoMs that are closer to eachother.
In addition, it is also possible to combine both business knowledge and statistical algorithms to combine UoMs.
質問 # 144
Which of the following statements are true?
I. Retail Risk Based Pricing involves using borrower specific data to arrive at both credit adjudication and pricing decisions II. An integrated 'Risk Information Management Environment' includes two elements - people and processes III. A Logical Data Model (LDM) lays down the relationships between data elements that an organization stores IV. Reference Data and Metadata refer to the same thing
- A. All of the above
- B. I and III
- C. II and IV
- D. I, II and III
正解：B
解説：
Explanation
Statement I is correct. Retail Risk Based Pricing (RRBP) involves the use of borrower specific data (such as FICO scores, average balances etc) to arrive at credit decisions. These 'retail' credit decisions may include decisions on whether to grant a line of credit, a mortgage, issue a credit card, or any of the various other retail activities abank may be dealing with. At the same time, this data can also be used to price the product, in addition to providing a yes or no credit decision so that risky borrowers are charged more than less risky borrowers.
Statement II is not correct, because an integrated Risk Information Management Environment includes three elements - people, processes and technology (and not just people and processes).
Statement III is correct. An LDM is a blue print of an organization's data, and describes the relationships between the various data elements.
Statement IV is not correct because reference data and metadata are not the same thing. Reference data refers to relatively static data, such as customer name (while actual transactions may not be so static). Metadata refers to data about data, and is stored in a data dictionary.
Therefore Choice 'b' is the correct answer and the rest are incorrect.
質問 # 145
If the odds of default are 1:5, what is the probability of default?
- A. 12.00%
- B. 50.00%
- C. 20.00%
- D. 16.67%
正解：D
解説：
Explanation
Odds are the ratio between the probability of the occurence of an event to the probability that the event does not occur.
If odds are H, then p = H/(1 + H) and H = p/(1-p). In this case the odds are 1:5, or 1/5, therefore the correct answer is Choice 'a', equal to (1/5)/(1 + 1/5) = 1/6 = 16.67%. All other choices are incorrect.
質問 # 146
Which of the following measures can be used to reduce settlement risks:
- A. all of the above
- B. providing for physical delivery instead of netted cash settlements
- C. escrow arrangements using a central clearing house
- D. increasing the timing differences between the two legs of the transaction
正解：B
解説：
Explanation
increasing the timing differences between the two legs of the transaction will increase settlement risk and not reduce it. Using escrow arrangements, such as central clearing houses to settle transactions (eg the DTCC in the United States) reduces settlement risk. Cash settlements based on netting arrangements reduce settlement risk, while physical delivery combined with gross cash payments increase it.
Therefore Choice 'a' is the correct answer.
質問 # 147
For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:
- A. Insufficient number of simulations when building the loss distribution
- B. Choice of an incorrect distribution for loss event frequencies
- C. Choice of incorrect parameters for loss severity distributions
- D. Aggregation risk, from selecting an incorrect value of estimated correlations between different operational risk estimates
正解：D
解説：
Explanation
The greatest model risk when calculating operational risk capital comes fromincorrect assumptions about correlations between different operational risks for which standalone risk calculations have been made.
Generally, the correlation can be expected to be positive, and would therefore vary between 0 and 1. These two values determine the 'bounds' between which the total operational risk capital would lie, and these bounds are generally quite far apart. Therefore the total value of the operational risk capital is very sensitive to the value chosen for the correlation, and this is the source of the biggest model risk under the AMA.
質問 # 148
For a FX forward contract, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)
- A. Roughlythree-quarters of the way towards maturity
- B. At maturity
- C. Indeterminate from the given information
- D. Right after inception
正解：B
解説：
Explanation
With the passage of time, the range of possible values the FX contract can take increases. Therefore the maximumvalue of the contract, which is when the credit risk would be maximum, would be at maturity. (Note that this is different than an interest rate swap whose value at maturity approaches zero.) Therefore Choice 'a' is the correct answer and the others are incorrect.
質問 # 149
A financial institution is considering shedding a business unit to reduce its economic capital requirements.
Which of the following is an appropriate measure of theresulting reduction in capital requirements?
- A. Marginal capital for the business unit in consideration
- B. Proportionate capital for the business unit in consideration
- C. Percentage of total gross income contributed by the business unit in question
- D. Incremental capital for the business unit in consideration
正解：D
解説：
Explanation
Incremental capital (or incremental VaR, depending upon the context), is a measure of the change in the capital (or VaR) requirements if a certain change is made to a portfolio.It uses the 'before' and 'after' approach, ie find out what the capital requirement or VaR will be without the change, and what it will be after the change. The difference is the incremental capital or incremental VaR. It helps measure the change in risk as a result of a particular action, eg a change in a position.
Marginal capital or VaR on the other hand is a method to break down the capital requirement or the VaR so that it can be assigned to individual positions within the portfolio. The total of marginal capital or marginal VaR for all the positions in a portfolio adds up to the total capital requirements or total VaR. Note that marginal VaR is also called component VaR.
Therefore incremental capital is the correct answer to this question. The other choices are incorrect. In the exam, the question may be phrased differently, so try to keep in mind the different between incremental and marginal capital, which can be a bit confusing given what these terms mean in plain English.
質問 # 150
Under thebasic indicator approach to determining operational risk capital, operational risk capital is equal to:
- A. 15% of the average net income (considering only thepositive years) of the past three years
- B. 15% of the average gross income (considering only the positive years) of the past three years
- C. 15% of the average gross income of the past five years
- D. 25% of the average gross income (considering only the positive years) of the past three years
正解：B
解説：
Explanation
Choice 'a' is the correct answer. According to theBasel II document, banks using the Basic Indicator Approach must hold capital for operational risk equal to the average over the previous three years of a fixed percentage (denoted alpha, and currently 15%) of positive annual gross income. Figures for anyyear in which annual gross income is negative or zero should be excluded from both the numerator and denominator when calculating the average.
質問 # 151
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