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

What is the annualized steady state volatility under a GARCH model where alpha is 0.1, beta is 0.8 and omega is 0.00025?

（A）0.0025

（B）0.08

（C）0.1

（D）0.05

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 2

According to the Basel framework, shareholders' equity and reserves are considered a part of:

（A）Tier 1 capital

（B）Tier 3 capital

（C）Tier 2 capital

（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

What would be the correct order of steps to addressing data quality problems in an organization?

（A）Assess the current state, design the future state, determine gaps and the actions required to be implemented to eliminate the gaps

（B）Call in external consultants

（C）Design the future state, perform a gap analysis, analyze the current state and implement the future state

（D）Articulate goals, do a 'strategy-fit' analysis and plan for action

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

A risk analyst uses the GARCH model to forecast volatility, and the parameters he uses are = 0.001%, = 0.05 and = 0.93. Yesterday's daily volatility was calculated to be 1%. What is the long term annual volatility under the analyst's model?

（A）0.22 %

（B）7.94 %

（C）3.54 %

（D）0.25 %

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

If the annual variance for a portfolio is 0.0256, what is the daily volatility assuming there are 250 days in a year.

（A）0.4048

（B）0.0006

（C）0.0016

（D）0.0101

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

When compared to a high severity low frequency risk, the operational risk capital requirement for a low severity high frequency risk is likely to be:

（A）Unaffected by differences in frequency or severity

（B）Higher

（C）Zero

（D）Lower

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 are valid objectives of a reverse stress test:
I. Ensure that a firm can survive for long enough after risks have materialized for it to either regain market confidence, restructure or be sold, or be closed down in an orderly manner, II. Discover the vulnerabilities of the current business plan, III. Better integrate business and capital planning, IV. Create a 'zero-failure' environment at the systemic level in the financial sector

（A）I and IV

（B）I, II and III

（C）II and III

（D）All of the above

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 8

In setting confidence levels for VaR estimates for internal limit setting, it is generally desirable:

（A）that actual losses exceed the VaR estimates on only the rarest of occasions

（B）that actual losses exceed the VaR estimates with some reasonably observable frequency that is neither too high nor too low

（C）that actual losses never exceed the VaR estimates

（D）that actual losses very frequently exceed the VaR estimates

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 is NOT an approach used to allocate economic capital to underlying business units:

（A）Stand alone economic capital contributions

（B）Marginal economic capital contributions

（C）Incremental economic capital contributions

（D）Fixed ratio economic capital contributions

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

Which of the following statements are true in relation to Principal Component Analysis (PCA) as applied to a system of term structures?
I. The factor weights on the first principal component will show whether there is common trend in the system II. The factors to be applied to principal components are obtained from eigenvectors of the correlation matrix III. PCA is a standard method for reducing dimensionality in data when considering a large number of correlated variables IV. The smallest absolute eigenvalues and their associated eigenvectors are the most useful for explaining most of the variation

（A）II and IV

（B）I and IV

（C）I, II and III

（D）I 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 11

A risk management function is best organized as:

（A）integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of the organization.

（B）a part of the trading desks and other risk taking teams

（C）reporting directly to the traders, as to be closest to the point at which risks are being taken

（D）report independently of the risk taking functions

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 12

If the cumulative default probabilities of default for years 1 and 2 for a portfolio of credit risky assets is 5% and 15% respectively, what is the marginal probability of default in year 2 alone?

（A）10.00%

（B）15.79%

（C）10.53%

（D）11.76%

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

What is the 1-day VaR at the 99% confidence interval for a cash flow of $10m due in 6 months time? The risk free interest rate is 5% per annum and its annual volatility is 15%. Assume a 250 day year.

（A）85123

（B）5500

（C）1744500

（D）109031

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 14

The accuracy of a VaR estimate based on a Monte carlo simulation of portfolio prices is affected by:
I. The shape of the distribution of portfolio values
II. The number simulations carried out
III. The confidence level selected for the VaR estimate

（A）III

（B）B

（C）II

（D）I, II and III

（E）II and III

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)

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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