8008無料問題集「PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP

質問 1

Identify the correct sequence of events as it unfolded in the credit crisis beginning 2007:
I. Mortgage defaults increased
II. Collapse in prices of unrelated assets as banks tried to create liquidity III. Banks refused to lend or transact with each other IV. Asset prices for CDOs collapsed

（A）I, IV, III and II

（B）III, IV, I and II

（C）I, III, IV and II

（D）IV, I, II and III

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 2

The results of 'desk-level' stress tests cannot be added together to arrive at institution wide estimates because:

（A）Desk-level stress tests tend to focus on extreme movements in risk parameters (such as volatility) without considering economy wide scenarios that may represent more realistic and consistent situations for the institution.

（B）Desk-level stress tests tend to ignore higher level risks that are relevant to the institution but completely outside the control of the individual desks.

（C）Desk-level stress tests focus on desk specific risks that may be minor or irrelevant in the larger scheme at the institution level.

（D）All of the above

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 3

Which of the following are true:
I. Monte Carlo estimates of VaR can be expected to be identical or very close to those obtained using analytical methods if both are based on the same parameters.
II. Non-normality of returns does not pose a problem if we use Monte Carlo simulations based upon parameters and a distribution assumed to be normal.
III. Historical VaR estimates do not require any distribution assumptions.
IV. Historical simulations by definition limit VaR estimation only to the range of possibilities that have already occurred.

（A）I, II and III

（B）III and IV

（C）I, III and IV

（D）All of the above

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 4

Which of the following is a measure of the level of capital that an institution needs to hold in order to maintain a desired credit rating?

（A）Shareholders' equity

（B）Economic capital

（C）Regulatory capital

（D）Book value

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 5

Between two options positions with the same delta and based upon the same underlying, which would have a smaller VaR?

（A）both positions would have an identical VaR

（B）the position with a higher theta

（C）the position with a higher gamma

（D）the position with a lower gamma

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 6

The unexpected loss for a credit portfolio at a given VaR estimate is defined as:

（A）Actual Loss - VaR

（B）VaR - Expected Loss

（C）Actual Loss - Expected Loss

（D）max(Actual Loss - Expected Loss, 0)

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 7

For a security with a daily standard deviation of 2%, calculate the 10-day VaR at the 95% confidence level.
Assume expected daily returns to be nil.

（A）0.02

（B）None of the above.

（C）0.104

（D）0.1471

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 8

The probability of default of a security during the first year after issuance is 3%, that during the second and third years is 4%, and during the fourth year is 5%. What is the probability that it would not have defaulted at the end of four years from now?

（A）12.00%

（B）84.93%

（C）88.00%

（D）88.53%

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 9

Which of the following statements is correct in relation to liquidity risk management?
I. Pricing for products that do not impact the balance sheet need not reflect the cost of maintaining liquidity II. Time horizons for liquidity risk management are impacted by both regulatory requirements and the speed at which new sources of liquidity can be tapped III. Collateral management is an important aspect of liquidity risk management IV. The maturity period of various instruments in the capital structure has a significant impact on liquidity needs

（A）I and II

（B）III and IV

（C）II and III

（D）II, III and IV

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 10

What is the combined VaR of two securities that are perfectly positively correlated.

（A）Combined VaR cannot be derived using the available information.

（B）The difference of the two VaRs.

（C）The root of the sum of squares of the individual VaRs of the two securities.

（D）The sum of the individual VaRs of the two securities.

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 11

Loss from a lawsuit from an employee due to physical harm caused while at work is categorized per Basel II as:

（A）Damage to physical assets

（B）Employment practices and workplace safety

（C）Execution delivery and process management

（D）Unsafe working environment

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 12

An error by a third party service provider results in a loss to a client that the bank has to make up. Such as loss would be categorized per Basel II operational risk categories as:

（A）Business disruption and process failure

（B）Abnormal loss

（C）Execution delivery and process management

（D）Outsourcing loss

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 13

Which of the following is closest to the description of a 'risk functional'?

（A）A risk functional is the distribution that models the severity of a risk

（B）Risk functional refers to the Kolmogorov-Smirnov distance

（C）A risk functional is a model distribution that is an approximation of the true loss distribution of a risk

（D）A risk functional assigns a penalty value for the difference between a model distribution and a risk's severity distribution

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

8008 無料問題集「PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition」

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