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

A risk analyst attempting to model the tail of a loss distribution using EVT divides the available dataset into blocks of data, and picks the maximum of each block as a data point to consider.
Which approach is the risk analyst using?

解説: (JPNTest メンバーにのみ表示されます)
Which of the following are elements of 'group risk':
I. Market risk
II. Intra-group exposures
III. Reputational contagion
IV. Complex group structures

解説: (JPNTest メンバーにのみ表示されます)
A risk analyst uses the GARCH model to forecast volatility, and the parameters he uses are # = 0.001%, # =
0.05 and # = 0.93. Yesterday's daily volatility was calculated to be 1%. What is the long term annual volatility under the analyst's model?

解説: (JPNTest メンバーにのみ表示されます)
Which of the following statements is true:
I. Expected credit losses are charged to the unit's P&L while unexpected losses hit risk capital reserves.
II. Credit portfolio loss distributions are symmetrical
III. For a bank holding $10m in face of a defaulted debt that it acquired for $2m, the bank's legal claim in the bankruptcy court will be $10m.
IV. The legal claim in bankruptcy court for an over the counter derivatives contract will be the notional value of the contract.

解説: (JPNTest メンバーにのみ表示されます)
The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:

解説: (JPNTest メンバーにのみ表示されます)
Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):

If the 1-day VaR of a portfolio is $25m, what is the 10-day VaR for the portfolio?

解説: (JPNTest メンバーにのみ表示されます)
Which of the following is additive, ie equal to the sum of its components

解説: (JPNTest メンバーにのみ表示されます)
Which of the following is true in relation to a Contingency Funding Plan (CFP)?
I. A CFP is like a disaster recovery plan to deal with a liquidity crisis II. A CFP should consider market stress conditions, but failures of payment systems are not relevant as they fall under the remit of operational risk III. Reputational damage may result if the market finds out that a firm has had to execute its CFP IV. Sources of emergency funding considered in the CFP should include the role of the central bank as the lender of last resort

解説: (JPNTest メンバーにのみ表示されます)
For a given notional amount, which of the following carries the greatest counterparty exposure (assuming the same counterparty credit rating for each):

解説: (JPNTest メンバーにのみ表示されます)
When compared to a high severity low frequency risk, the operational risk capital requirement for a low severity high frequency risk is likely to be:

解説: (JPNTest メンバーにのみ表示されます)
For a corporate bond, which of the following statements is true:
I. The credit spread is equal to the default rate times the recovery rate II. The spread widens when the ratings of the corporate experience an upgrade III. Both recovery rates and probabilities of default are related to the business cycle and move in opposite directions to each other IV. Corporate bond spreads are affected by both the risk of default and the liquidity of the particular issue

解説: (JPNTest メンバーにのみ表示されます)
Which of the following distribution assumptions will produce the lowest probability of exceeding an extreme value, assuming identical means and variances?

解説: (JPNTest メンバーにのみ表示されます)

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