8008試験無料問題集（359題）「PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP

出題：1

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

A. Lower

B. Zero

C. Higher

D. Unaffected by differences in frequency or severity

正解：B 解答を投票する

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出題：2

Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution for operational risk?

A. The frequency distribution alone forms the basis for the loss distribution for operational risk

B. A firm wide operational risk distribution is set to be equal to the product of the frequency and severity distributions

C. A firm wide operational risk distribution is generated by adding together the frequency and severity distributions

D. A firm wide operational risk distribution is generated using Monte Carlo simulations

正解：D 解答を投票する

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出題：3

Which of the following is true for the actuarial approach to credit risk modeling (CreditRisk+):

A. The number of defaults is modeled using a binomial distribution where the number of defaults are considered discrete events

B. Default correlations between obligors are accounted for using a multivariate normal model

C. The approach is based upon historical rating transition matrices

D. The approach considers only default risk, and ignores the risk to portfolio value from credit downgrades

正解：D 解答を投票する

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出題：4

Which of the following are measures of liquidity risk
I. Liquidity Coverage Ratio
II. Net Stable Funding Ratio
III. Book Value to Share Price
IV. Earnings Per Share

A. III and IV

B. I and II

C. I and IV

D. II and III

正解：B 解答を投票する

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出題：5

Which of the following statements is true in relation to a normal mixture distribution:
I. The mixture will always have a kurtosis greater than a normal distribution with the same mean and variance II. A normal mixture density function is derived by summing two or more normal distributions III. VaR estimates for normal mixtures can be calculated using a closed form analytic formula

A. I and III

B. I and II

C. I, II and III

D. II and III

正解：B 解答を投票する

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出題：6

Which of the following represent the parameters that define a VaR estimate?

A. confidence level and the holding period

B. confidence level and the underlying stochastic process

C. trading position and distribution assumption

D. confidence level, the holding period and expected volatility

正解：A 解答を投票する

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出題：7

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

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

B. The ISDA MA describes events of default, and termination events

C. The ISDA MA describes the close out process

D. All transactions under the ISDA MA are considered separate obligations

正解：D 解答を投票する

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出題：8

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

A. Articulate goals, do a 'strategy-fit' analysis and plan for action

B. Assess the current state, design the future state, determine gaps and the actions required to be implemented to eliminate the gaps

C. Call in external consultants

D. Design the future state, perform a gap analysis, analyze the current state and implement the future state

正解：B 解答を投票する

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出題：9

A risk management function is best organized as:

A. reporting directly to the traders, as to be closest to the point at which risks are being taken

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

C. report independently of the risk taking functions

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

正解：C 解答を投票する

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出題：10

Which of the following is not a parameter to be determined by the risk manager that affects the level of economic credit capital:

A. Confidence level

B. Probability of default

C. Definition of credit losses

D. Risk horizon

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：11

When modeling severity of operational risk losses using extreme value theory (EVT), practitioners often use which of the following distributions to model loss severity:
I. The 'Peaks-over-threshold' (POT) model
II. Generalized Pareto distributions
III. Lognormal mixtures
IV. Generalized hyperbolic distributions

A. I and II

B. I, II, III and IV

C. I, II and III

D. II and III

正解：A 解答を投票する

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出題：12

Which of the following statements is true:
I. Recovery rate assumptions can be easily made fairly accurately given past data available from credit rating agencies.
II. Recovery rate assumptions are difficult to make given the effect of the business cycle, nature of the industry and multiple other factors difficult to model.
III. The standard deviation of observed recovery rates is generally very high, making any estimate likely to differ significantly from realized recovery rates.
IV. Estimation errors for recovery rates are not a concern as they are not directionally biased and will cancel each other out over time.

A. II and IV

B. III and IV

C. I, II and IV

D. II and III

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

8008試験無料問題集「PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition 認定」