8010無料問題集「PRMIA Operational Risk Manager (ORM)」

質問 1

For a loan portfolio, unexpected losses are charged against:

（A）Economic credit capital

（B）Economic capital

（C）Credit reserves

（D）Regulatory capital

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 are a CRO's responsibilities:
I. Statutory financial reporting
II. Reporting to the audit committee
III. Compliance with risk regulatory standards
IV. Operational risk

（A）I and II

（B）II and IV

（C）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 3

Under the KMV Moody's approach to credit risk measurement, how is the distance to default converted to expected default frequencies?

（A）Using a proprietary database based on historical information

（B）Using migration matrices

（C）Using a normal distribution

（D）Using Monte Carlo simulations

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

According to the Basel II framework, subordinated term debt that was originally issued 4 years ago with amaturity of 6 years is considered a part of:

（A）Tier 1 capital

（B）None of the above

（C）Tier 3 capital

（D）Tier 2 capital

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 5

Which of the following best describes the concept of marginalVaR of an asset in a portfolio:

（A）Marginal VaR is the change in the VaR estimate for the portfolio as a result of including the asset in the portfolio.

（B）Marginal VaR is the value of the expected losses on occasions where the VaR estimate is exceeded.

（C）Marginal VaR is the contribution of the asset to portfolio VaR in a way that the sum of such calculations for all the assets in the portfolio adds up to the portfolio VaR.

（D）Marginal VaR describes the change in total VaR resulting from a $1 change in the value of the asset in question.

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

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 7

Under the standardized approach to calculating operational risk capital, how many business lines are a bank's activities divided into per Basel II?

（A）12

（B）15

（C）7

（D）8

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

When building a operational loss distribution by combining a loss frequency distribution and a loss severity distribution, it is assumed that:
I. The severity of losses is conditional upon the numberof loss events
II. The frequency of losses is independent from the severity of the losses III. Both the frequency and severity of loss events are dependent upon the state of internal controls in the bank

（A）I and II

（B）II

（C）I, II and III

（D）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)

質問 9

Under the standardized approach to determining operational risk capital, operations risk capital is equal to:

（A）a varying percentage, determined by the national regulator, of the gross revenue of each of the bank's business lines

（B）a fixed percentage (different for each business line) of the gross income of the eight specified business lines, averaged over three years

（C）15% of the average gross income (considering only the positive years) of the past three years

（D）a fixed percentage of the latest gross income of the bank

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 10

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）Aggregation risk, from selecting an incorrect value of estimated correlations between different operational risk estimates

（B）Insufficient number of simulations when building the loss distribution

（C）Choice of an incorrect distribution for loss event frequencies

（D）Choice of incorrect parameters for loss severity distributions

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 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）Percentage of total gross income contributed by the business unit in question

（B）Marginal capital for the business unit in consideration

（C）Incremental capital for the business unit in consideration

（D）Proportionate capital for the business unit in consideration

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)

8010 無料問題集「PRMIA Operational Risk Manager (ORM)」

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