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

An operational loss severity distribution is estimated using 4 data points from a scenario. The management institutes additional controls to reduce the severity of the loss if the risk is realized, and as a result the estimated losses from a 1-in-10-year losses are halved. The 1-in-100 loss estimate however remains the same.
What would be the impact on the 99.9th percentile capital required for this risk as a result of the improvement in controls?

（A）The capital required will increase

（B）The capital required will stay the same

（C）Can't say based on the information provided

（D）The capital required will decrease

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

Which of the following risks were not covered in detail in most stress tests prior to the current crisis:
I. The behavior of complex structured products under stressed liquidity conditions II. Pipeline or securitization risk III. Basis risk in relation to hedging strategies IV. Counterparty credit risk
V. Contingent risks
VI. Funding liquidity risk

（A）I, II, III, IV and VI

（B）II, III and V

（C）I, IV and VI

（D）All of the above

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 3

Which of the following formulae correctly describes Component VaR. (p refers to the portfolio, and i is the i-th constituent of the portfolio. MVaR means Marginal VaR, and other symbols have their usual meanings.)

（A）I and II

（B）III

（C）II

（D）I

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 4

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

（A）I and IV

（B）I

（C）II and III

（D）II, III and IV

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 5

Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio?
(where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.) A)

B)

C)

D)

（A）Option D

（B）Option B

（C）Option C

（D）Option A

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 6

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)

質問 7

Which of the following introduces model error when basing VaR on a normal distribution with a static mean and standard deviation?

（A）Autocorrelation of squared returns

（B）Heavy tails

（C）Volatility clustering

（D）All of the above

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 8

The minimum 'multiplication factor' to be applied to VaR calculations for calculating the capital requirements for the trading book per Basel II is equal to:

（A）3

（B）1

（C）4

（D）2

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 9

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?

（A）0.05 and 0.0125

（B）0.11 and 0

（C）0.0475 and 0.10

（D）0.08 and 0.0475

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 10

Which of the following describes rating transition matrices published by credit rating firms:

（A）Probabilities of ratings transition from one rating to another for a given set of issuers

（B）Probabilities of default for each credit rating class

（C）Realized frequencies of migration from one credit rating to another over a one year period

（D）Expected ex-ante frequencies of migration from one credit rating to another over a one year period

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 11

A bank prices retail credit loans based on median default rates. Over the long run, it can expect:

（A）A reduction in the rate of defaults

（B）Overestimation of risk and overpricing, leading to loss of market share

（C）Underestimation and therefore underpricing of risk in it retail portfolio

（D）Correct pricing of risk in the retail credit portfolio

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 12

Which of the following statements is the most appropriate description of feedback effects:

（A）The lack of a comprehensive view of risk across credit, market and liquidity risks leading to an underestimation of correlations that tend to spike up in the event of a crisis

（B）The amplification of smaller initial shocks to one risk factor creating larger subsequent shocks through system-wide interactions between other risks, creating self-perpetuating downward stresses in the markets

（C）The revision of stress testing scenarios based upon management, business unit and regulatory feedback on the plausibility or otherwise of stress scenarios.

（D）The spread of contagion from the bankruptcy of one participant leading to a similar outcome for other market participants

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 13

Random recovery rates in respect of credit risk can be modeled using:

（A）the normal distribution

（B）the omega distribution

（C）the beta distribution

（D）the binomial distribution

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 14

Under the standardized approach to calculating operational risk capital under Basel II, negative regulatory capital charges for any of the business units:

（A）Should be included after ignoring the negative sign

（B）Should be offset against positive capital charges from other business units

（C）Should be excluded from capital calculations

（D）Should be ignored completely

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 15

Which of the following is not an approach proposed by the Basel II framework to compute operational risk capital?

（A）Basic indicator approach

（B）Advanced measurement approach

（C）Factor based approach

（D）Standardized approach

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)

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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