8010 無料問題集「PRMIA Operational Risk Manager (ORM)」
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
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
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)
Which of the following statements are true:
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%
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)
Whichof the following statements are true in relation to Historical Simulation VaR?
I. Historical Simulation VaR assumes returns are normally distributed but have fat tails II. It uses full revaluation, as opposed to delta or delta-gamma approximations III. Acorrelation matrix is constructed using historical scenarios IV. It particularly suits new products that may not have a long time series of historical data available
I. Historical Simulation VaR assumes returns are normally distributed but have fat tails II. It uses full revaluation, as opposed to delta or delta-gamma approximations III. Acorrelation matrix is constructed using historical scenarios IV. It particularly suits new products that may not have a long time series of historical data available
正解：E
解答を投票する
解説: (JPNTest メンバーにのみ表示されます)
Which of the following losses can be attributed to credit risk:
I. Losses in a bond's value from a credit downgrade
II. Losses in a bond's value from an increase in bond yields
III. Losses arising from a bond issuer'sdefault
IV. Losses from an increase in corporate bond spreads
I. Losses in a bond's value from a credit downgrade
II. Losses in a bond's value from an increase in bond yields
III. Losses arising from a bond issuer'sdefault
IV. Losses from an increase in corporate bond spreads
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)
If E denotes the expected value of a loan portfolio at the end on one year and U the value of the portfolio in the worst case scenario at the 99% confidence level, which of the following expressions correctly describes economic capital requiredin respect of credit risk?
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)