PRMIA Credit and Counterparty Manager (CCRM) Certificate - 8011 FREE EXAM DUMPS QUESTIONS & ANSWERS

Which of the following situations are not suitable for applying parametric VaR:
I. Where the portfolio's valuation is linearly dependent upon risk factors II. Where the portfolio consists of non-linear products such as options and large moves are involved III. Where the returns of risk factors are known to be not normally distributed

Which of the following steps are required for computing the total loss distribution for a bank for operational risk once individual UoM level loss distributions have been computed from the underlhying frequency and severity curves:
I. Simulate number of losses based on the frequency distribution
II. Simulate the dollar value of the losses from the severity distribution III. Simulate random number from the copula used to model dependence between the UoMs IV. Compute dependent losses from aggregate distribution curves

A Monte Carlo simulation based VaR can be effectively used in which of the following cases:

If the loss given default is denoted by L, and the recovery rate by R, then which of the following represents the relationship between loss given default and the recovery rate?

A bank extends a loan of $1m to a home buyer to buy a house currently worth $1.5m, with the house serving as the collateral. The volatility of returns (assumed normally distributed) on house prices in that neighborhood is assessed at 10% annually. The expected probability of default of the home buyer is 5%.
What is the probability that the bank will recover less than the principal advanced on this loan; assuming the probability of the home buyer's default is independent of the value of the house?

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

A risk analyst analyzing the positions for a proprietary trading desk determines that the combined annual variance of the desk's positions is 0.16. The value of the portfolio is $240m. What is the 10-day stand alone VaR in dollars for the desk at a confidence level of 95%? Assume 250 trading days in a year.

Which of the following statements are true:
I. Shocks to risk factors should be relative rather than absolute if we wish to avoid a change in thesign of the risk factor.
II. Interest rate shocks are generally modeled as absolute shocks.
III. Shocks to volatility are generally modeled as absolute shocks.
IV. Shocks to market spreads are generally modeled as relative shocks.

Which of the following are valid methods for selecting an appropriate model from the model space for severity estimation:
I. Cross-validation method
II. Bootstrap method
III. Complexity penalty method
IV. Maximum likelihood estimation method

Which of the following is not an example of a risk concentration?

Which of the following is not a limitation of the univariate Gaussian model to capture the codependence structure between risk factros used for VaR calculations?

If A and B be two debt securities, which of the following is true?

For a security with a daily standard deviation of 2%, calculate the 10-day VaR at the 95% confidence level.
Assume expected daily returns to be nil.

Which of the following statements are true:
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I by increasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks

If F be the face value of a firm's debt, V the value of its assets and E the market value of equity, then according to the option pricing approach a default on debt occurs when: