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

質問 1

What is the risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?

（A）10 years

（B）10 days

（C）1 year

（D）1-day

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 2

There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that none of the three bonds will default.

（A）0.0006%

（B）94%

（C）0.11%

（D）2%

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 3

Which of the following are attributes of a robust stress testing programme at a bank?

（A）Written policies and procedures

（B）Robust systems infrastructure

（C）Data of appropriate quality and granularity

（D）All of the above

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 4

Which of the following is the best description of the spread premium puzzle:

（A）The spread premium puzzle refers to AAA corporate bonds being priced at almost the same prices as equivalent treasury bonds without offering the same liquidity or guarantee as treasury bonds

（B）The spread premium puzzle refers to dollar denominated non-US sovereign bonds being priced a at significant discount to other similar USD denominated assets

（C）The spread premium puzzle refers to the moral hazard implicit in the monoline insurance market

（D）The spread premium puzzle refers to observed default rates being much less than implied default rates, leading to lower credit bonds being relatively cheap when compared to their actual default probabilities

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

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, II, III and IV

（B）I and II

（C）I, II and III

（D）II 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 6

If the 99% VaR of a portfolio is $82,000, what is the value of a single standard deviation move in the portfolio?

（A）35248

（B）50000

（C）82000

（D）134480

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 7

Which of the following statements are true:
I. A high score according to Altman's Z-Score methodology indicates a lower default risk II. A high score according to the Probit or Logit models indicates a higher default risk III. A high score according to Altman's Z-Score methodology indicates a higher default risk IV. A high score according to the Probit or Logit models indicates a lower default risk

（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 8

Under the standardized approach to determining operational risk capital, operations risk capital is equal to:

（A）a varying percentage, determined by the national regulator, of the gross revenue of each of the bank's business lines

（B）a fixed percentage (different for each business line) of the gross income of the eight specified business lines, averaged over three years

（C）15% of the average gross income (considering only the positive years) of the past three years

（D）a fixed percentage of the latest gross income of the bank

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

All else remaining the same, an increase in the joint probability of default between two obligors causes the default correlation between the two to:

（A）Cannot be determined from the given information

（B）Increase

（C）Stay the same

（D）Decrease

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

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 11

Which of the following is not an event of default covered in the ISDA Master Agreement?
I). failure to pay or deliver
II). credit support default
III). merger without assumption
IV). Bankruptcy

（A）IV

（B）I

（C）II and III

（D）All are considered events of default

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

A portfolio has two loans, A and B, each worth $1m. The probability of default of loan A is 10% and that of loan B is 15%. The probability of both loans defaulting together is 1%. Calculate the expected loss on the portfolio.

（A）250000

（B）1000000

（C）500000

（D）240000

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)

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

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