Get 2022 Most Reliable PRMIA 8010 Training Materials [Q92-Q108]

25 Aug, 2022 By admin 8010, PRMIA 0 Comments

Get 2022 Most Reliable PRMIA 8010 Training Materials [Q92-Q108]

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Get 2022 Most Reliable PRMIA 8010 Training Materials

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Q92. Loss provisioning is intended to cover:

Unexpected losses

Losses in excessof unexpected losses

Both expected and unexpected losses

Expected losses

Q93. In respect of operational risk capital calculations, the Basel II accord recommends a confidence leveland time horizon of:

99.9% confidence level over a 10 day time horizon

99% confidence level over a 10 year time horizon

99% confidence level over a 1 year time horizon

99.9% confidence level over a 1 year time horizon

Q94. Whichof the following statements are true in relation to Historical Simulation VaR?
I. Historical Simulation VaR assumes returns are normally distributed but have fat tails II. It uses full revaluation, as opposed to delta or delta-gamma approximations III. Acorrelation matrix is constructed using historical scenarios IV. It particularly suits new products that may not have a long time series of historical data available

II and III

I and IV

All of the above

Q95. Which of the following are a CRO’s responsibilities:
I. Statutory financial reporting
II. Reporting to the audit committee
III. Compliance with risk regulatory standards
IV. Operational risk

I and II

II and IV

III and IV

All of the above

Q96. Which of the following is a cause ofmodel risk in risk management?

Programming errors

Misspecification of the model

Incorrect parameter estimation

All of the above

Q97. The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:

Pre-settlement risk

Credit risk

Replacement risk

Settlement risk

Q98. Under the KMV Moody’s approach to calculating expectingdefault frequencies (EDF), firms’ default on obligations is likely when:

expected asset values one year hence are below total liabilities

asset values reach a level below short term debt

asset values reach a level below totalliabilities

asset values reach a level between short term debt and total liabilities

Q99. Which of the following is the most important problem to solve for fitting a severity distribution for operational risk capital:

The risk functional’s minimization should lead to a good estimate of the 0.999 quantile

Determine plausible scenarios to fill the data gaps inthe internal and external loss data

Empirical loss data needs to be extended to the ranges below the reporting threshold and above large value losses

The fit obtained should reduce the combination of the fitting and approximation errors to a minimum

Q100. There are two bonds in a portfolio, each with a marketvalue of $50m. The probability of default of the two bonds over a one year horizon are 0.03 and 0.08 respectively. If the default correlation is zero, what is the one year expected loss on this portfolio?

$11m

$5.26m

$5.5m

$1.38m

Q101. The definition of operational risk per Basel II includes which of the following:
I. Riskof loss resulting from inadequate or failed internal processes, people and systems or from external events II. Legal risk III. Strategic risk IV. Reputational risk

I, II, III and IV

II and III

I and III

I and II

Q102. The CDS quote for the bonds of Bank X is 200 bps. Assuming a recovery rate of 40%, calculate the default hazard rate priced in the CDS quote.

0.80%

5.00%

3.33%

2.00%

Q103. Which of the following formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.) A)

B)

C)

D)
All of the above

Option A

Option B

Option C

Option D

Q104. The VaR of a portfolio at the 99% confidence level is $250,000 when mean return is assumed to be zero. If the assumption of zero returns is changed to an assumption of returns of $10,000, what is the revised VaR?

260000

240000

273260

226740

Q105. Which of the following best describes a ‘break clause ?

A break clause gives either party to a transaction the right to terminate the transaction at market price at future date(s)

A break clausedetermines the process by which amounts due on early termination will be determined

A break clause describes rights and obligations when the derivative contract is broken

A break clause sets out the conditions under which the transaction will be terminated upon non-compliance with the ISDA MA

Q106. In estimating credit exposure for a line of credit, it is usual to consider:

a fixed fraction of the line of credit to be the exposure at default even though the currently drawn amount is quite different from such a fraction.

the full value of the credit line to be the exposure at default as the borrower has an informational advantage that will lead them to borrow fully against the credit line at the time of default.

only the value of credit exposure currently existing against the credit line as the exposure at default.

the present value of the line of credit at the agreed rate of lending.

Q107. Which of the following are valid criticisms of value at risk:
I. There are many risks that a VaR framework cannot model
II. VaR does not considerliquidity risk
III. VaR does not account for historical market movements
IV. VaR does not consider the risk of contagion

I, II and IV

I and III

II and IV

All of the above

Q108. Which of the following statements are true ?
I.Risk governance structures distribute rights and responsibilities among stakeholders in the corporation II. Cybernetics is the multidisciplinary study of cyber risk and control systems underlying information systems in an organization III. Corporate governance is a subset of the larger subject of risk governance IV. The Cadbury report was issued in the early 90s and was one of the early frameworks for corporate governance

I, II and IV

I and IV

II and III

All of the above