8011無料問題集「PRMIA Credit and Counterparty Manager (CCRM) Certificate」

質問 1

Which loss event type is the failure to timely deliver collateral classified as under the Basel II framework?

（A）Execution, Delivery & Process Management

（B）Clients, products and business practices

（C）Information security

（D）External fraud

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

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 3

Which of the following is not true about the ISDA master agreement (ISDA MA):

（A）All transactions under the ISDA MA are considered separate obligations

（B）The CSA (Credit Support Annex) is one of the parts of the ISDA MA

（C）The ISDA MA describes the close out process

（D）The ISDA MA describes events of default, and termination events

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 stock that follows the Weiner process has its future price determined by:

（A）its expected return alone

（B）its current price, expected return and standard deviation

（C）its standard deviation and past technical movements

（D）its expected return and standard deviation

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

Which of the following situations are not suitable for applying parametric VaR:
I. Where the portfolio's valuation is linearly dependent upon risk factors II. Where the portfolio consists of non-linear products such as options and large moves are involved III. Where the returns of risk factors are known to be not normally distributed

（A）I and II

（B）II and III

（C）I 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 6

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 7

If the systematic VaR for an equity portfolio is $100 and the specific VaR is $80, then which of the following is true in relation to the total VaR:

（A）Total VaR is $180

（B）Total VaR is $20

（C）Total VaR is less than $180

（D）Total VaR is greater than $180

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

An assumption regarding the absence of ratings momentum is referred to as:

（A）Herstatt risk

（B）Ratings stability

（C）Markov property

（D）Time invariance

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 9

Which of the following distribution assumptions will produce the lowest probability of exceeding an extreme value, assuming identical means and variances?

（A）t-distribution

（B）a normal distribution

（C）a normal mixture distribution

（D）a distribution with kurtosis = 5

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

If A and B be two uncorrelated securities, VaR(A) and VaR(B) be their values-at-risk, then which of the following is true for a portfolio that includes A and B in any proportion. Assume the prices of A and B are log- normally distributed.

（A）VaR(A+B) > VaR(A) + VaR(B)

（B）The combined VaR cannot be predicted till the correlation is known

（C）VaR(A+B) = VaR(A) + VaR(B)

（D）VaR(A+B) < VaR(A) + VaR(B)

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

Which of the following can be used to reduce credit exposures to a counterparty:
I. Netting arrangements
II. Collateral requirements
III. Offsetting trades with other counterparties
IV. Credit default swaps

（A）I, II, III and IV

（B）I and II

（C）I, II and IV

（D）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 12

Which of the following is not a risk faced by a bank from holding a portfolio of residential mortgages?

（A）The risk that mortgage interest rates will rise in the future

（B）The risk that the homeowners will not be able to pay their mortgage when they are due

（C）The risk that CDS spreads on the bank's debt will rise making funding more expensive

（D）The risk that the homeowners will pay the mortgage off before they are due

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 are valid approaches to leveraging external loss data for modeling operational risks:
I. Both internal and external losses can be fitted with distributions, and a weighted average approach using these distributions is relied upon for capital calculations.
II. External loss data is used to inform scenario modeling.
III. External loss data is combined with internal loss data points, and distributions fitted to the combined data set.
IV. External loss data is used to replace internal loss data points to create a higher quality data set to fit distributions.

（A）II and IV

（B）I, II and III

（C）I 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)

8011 無料問題集「PRMIA Credit and Counterparty Manager (CCRM) Certificate」

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