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

質問 1

Which of the following statements is true in respect of a non financial manufacturing firm?
I. Market risk is not relevant to the manufacturing firm as it does not take proprietary positions II. The firm faces market risks as an externality which it must bear and has no control over III. Market risks can make a comparative assessment of profitability over time difficult IV. Market risks for a manufacturing firm are not directionally biased and do not increase the overall risk of the firm as they net to zero over a long term time horizon

（A）III only

（B）I and II

（C）III and IV

（D）IV only

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

The minimum 'multiplication factor' to be applied to VaR calculations for calculating the capital requirements for the trading book per Basel II is equal to:

（A）3

（B）1

（C）4

（D）2

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

The generalized Pareto distribution, when used in the context of operational risk, is used to model:

（A）Unexpected losses

（B）Tail events

（C）Expected losses

（D）Average losses

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 4

Under the CreditPortfolio View approach to credit risk modeling, which of the following bestdescribes the conditional transition matrix:

（A）The conditional transition matrix is the transition matrix adjusted for the distribution of the firms' asset returns

（B）The conditional transition matrix is the transition matrix adjusted for the risk horizon being different from that of the transition matrix

（C）The conditional transition matrix is the unconditional transition matrix adjusted for probabilities of defaults

（D）The conditional transition matrix is the unconditional transition matrix adjusted for the state of the economy and other macro economic factors being modeled

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 5

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?

（A）0.22 %

（B）7.94 %

（C）3.54 %

（D）0.25 %

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 6

For an option position with a delta of 0.3, calculate VaR if the VaR of the underlying is $100.

（A）130

（B）33.33

（C）30

（D）100

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 7

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

（A）Default correlations between obligors are accounted for using a multivariate normal model

（B）The approach is based upon historical rating transition matrices

（C）The approach considers only default risk, and ignores the risk to portfolio value from credit downgrades

（D）The number of defaults is modeled using a binomial distribution where the number of defaults are considered discrete events

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 is a cause of model risk in risk management?

（A）Incorrect parameter estimation

（B）Programming errors

（C）All of the above

（D）Misspecification of the model

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

The frequency distribution for operational risk loss events can be modeled by which of the following distributions:
I. The binomial distribution
II. The Poisson distribution
III. The negative binomial distribution
IV. The omega distribution

（A）I, II, III and IV

（B）I, II and III

（C）I, III and IV

（D）I and III

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

Under the KMV Moody's approach to credit risk measurement, how is the distance to default converted to expected default frequencies?

（A）Using a proprietary database based on historical information

（B）Using migration matrices

（C）Using a normal distribution

（D）Using Monte Carlo simulations

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 11

If the annual default hazard rate for a borrower is 10%, what is the probability that there is no default at the end of 5 years?

（A）50.00%

（B）60.65%

（C）39.35%

（D）59.05%

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 12

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 13

For a given notional amount, which of the following carries the greatest counterparty exposure (assuming the same counterparty credit rating for each):

（A）A futures contract on an equity index

（B）A one year interest rate swap

（C）A one year certificate of deposit

（D）A one year forward foreign exchange contract

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 14

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

（A）confidence level and the holding period

（B）trading position and distribution assumption

（C）confidence level, the holding period and expected volatility

（D）confidence level and the underlying stochastic process

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 15

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):

（A）Probability of default

（B）Loss given default

（C）Exposure at default

（D）Effective maturity

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 16

Which of the following event types is hacking damage classified under Basel II operational risk classifications?

（A）Damage to physical assets

（B）Technology risk

（C）Information security

（D）External fraud

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)

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

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