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

質問 1

When the volatility of the yield for a bond increases, which of the following statements is true:

（A）The VaR for the bond increases and its value decreases

（B）The VaR for the bond increases and its value stays the same

（C）The VaR for the bond decreases and its value increases

（D）The VaR for the bond decreases and its value is unaffected

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 2

Between two options positions with the same delta and based upon the same underlying, which would have a smaller VaR?

（A）both positions would have an identical VaR

（B）the position with a higher theta

（C）the position with a higher gamma

（D）the position with a lower gamma

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

Which of the following are likely to be useful to a risk manager analyzing liquidity risk for an international bank?
I. Information on liquidity mismatches
II. Funding concentration
III. Lending concentration
IV. A report on illiquid assets

（A）I, II, III and IV

（B）I and II

（C）I, II and IV

（D）III and IV

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 would not be a part of the principal component structure of the term structure of futures prices?

（A）Tilt component

（B）Parallel component

（C）Curvature component

（D）Trend component

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

Which of the following is additive, ie equal to the sum of its components

（A）Incremental VaR

（B）Conditional VaR

（C）Specific VaR

（D）Component VaR

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

As the persistence parameter under EWMA is lowered, which of the following would be true:

（A）The model will give lower weight to recent returns

（B）High variance from the recent past will persist for longer

（C）The model will react faster to market shocks

（D）The model will react slower to market shocks

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

Which of the following decisions need to be made as part of laying down a system for calculating VaR:
I. The confidence level and horizon
II. Whether portfolio valuation is based upon a delta-gamma approximation or a full revaluation III. Whether the VaR is to be disclosed in the quarterly financial statements IV. Whether a 10 day VaR will be calculated based on 10-day return periods, or for 1-day and scaled to 10 days

（A）II and IV

（B）I, II and IV

（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 9

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）I and II

（B）I and IV

（C）III and IV

（D）II 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 10

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 regainmarket 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 11

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

（A）Probability of default

（B）Risk horizon

（C）Confidence level

（D）Definition of credit losses

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 12

There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?

（A）100%

（B）25%

（C）0%

（D）40%

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」

弊社を連絡する

関連リンク

トップ試験