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Exam Code:8008
Exam Name:PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
Certification Provider:PRMIA
Free Question Number:125
Version:v2021-08-28
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Exam Question List
Question 1: Which of the following data sources are expected to influenc...
Question 2: A risk analyst peforming PCA wishes to explain 80% of the va...
Question 3: Which of the following represent the parameters that define ...
Question 4: Economic capital under the Earnings Volatility approach is c...
Question 5: Which of the following best describes economic capital?...
Question 6: A bank's detailed portfolio data on positions held in a part...
Question 7: Credit exposure for derivatives is measured using...
Question 8: Which of the following assumptions underlie the 'square root...
Question 9: For a security with a daily standard deviation of 2%, calcul...
Question 10: Which of the following statements is true:...
Question 11: When building a operational loss distribution by combining a...
Question 12: If F be the face value of a firm's debt, V the value of its ...
Question 13: For a hypotherical UoM, the number of losses in two non-over...
Question 14: A corporate bond maturing in 1 year yields 8.5% per year, wh...
Question 15: In respect of operational risk capital calculations, the Bas...
Question 16: Which of the following statements is true in respect of diff...
Question 17: The capital adequacy ratio applied to risk weighted assets f...
Question 18: The systemic manifestation of the liquidity crisis during th...
Question 19: Which of the following risks and reasons justify the use of ...
Question 20: If the marginal probabilities of default for a corporate bon...
Question 21: Which of the following losses can be attributed to credit ri...
Question 22: Under the contingent claims approach to measuring credit ris...
Question 23: Which of the following situations are not suitable for apply...
Question 24: An assumption regarding the absence of ratings momentum is r...
Question 25: A bank extends a loan of $1m to a home buyer to buy a house ...
Question 26: A risk analyst attempting to model the tail of a loss distri...
Question 27: Which of the following contributed to the systemic failure d...
Question 28: The generalized Pareto distribution, when used in the contex...
Question 29: Which loss event type is the failure to timely deliver colla...
Question 30: Which of the following statements is true?...
Question 31: When performing portfolio stress tests using hypothetical sc...
Question 32: Which of the following is the most accurate description of E...
Question 33: The estimate of historical VaR at 99% confidence based on a ...
Question 34: Which of the following attributes of an investment are affec...
Question 35: Which of the following statements is correct in relation to ...
Question 36: A portfolio's 1-day VaR at the 99% confidence level is $250m...
Question 37: Which of the following statements is true I. If no loss data...
Question 38: What is the combined VaR of two securities that are perfectl...
Question 39: Which of the following best describes the concept of margina...
Question 40: Which of the following statements are true: I. The sum of un...
Question 41: Under the KMV Moody's approach to credit risk measurement, h...
Question 42: Which of the following statements is true in relation to a n...
Question 43: Which of the following statements are true? I. Retail Risk B...
Question 44: A bullet bond and an amortizing loan are issued at the same ...
Question 45: A bank evaluates the impact of large and severe changes in c...
Question 46: For a corporate issuer, which of the following can be used t...
Question 47: As opposed to traditional accounting based measures, risk ad...
Question 48: If the annual default hazard rate for a borrower is 10%, wha...
Question 49: When compared to a high severity low frequency risk, the ope...
Question 50: long bond position is hedged using a short position in the f...
Question 51: Altman's Z-score does not consider which of the following ra...
Question 52: Under the standardized approach to calculating operational r...
Question 53: For a group of assets known to be positively correlated, wha...
Question 54: A derivative contract has a negative current replacement val...
Question 55: If EV be the expected value of a firm's assets in a year, an...
Question 56: Which of the following statements are true: I. Stress testin...
Question 57: The minimum 'multiplication factor' to be applied to VaR cal...
Question 58: Which of the following statements is true? I. Real Time Gros...
Question 59: Under the credit migration approach to assessing portfolio c...
Question 60: A bank prices retail credit loans based on median default ra...
Question 61: Which of the following are elements of 'group risk': I. Mark...
Question 62: Which of the following statements are true: I. Common scenar...
Question 63: Which of the following introduces model error when basing Va...
Question 64: The accuracy of a VaR estimate based on a Monte carlo simula...
Question 65: CreditRisk+, the actuarial model for calculating portfolio c...
Question 66: Which of the following credit risk models includes a conside...
Question 67: What ensures that firms are not able to selectively default ...
Question 68: If the loss given default is denoted by L, and the recovery ...
Question 69: The returns for a stock have a monthly volatilty of 5%. Calc...
Question 70: Which of the following is a valid approach to determining th...
Question 71: Fill in the blank in the following sentence: Principal compo...
Question 72: The key difference between 'top down models' and 'bottom up ...
Question 73: The results of 'desk-level' stress tests cannot be added tog...
Question 74: Which of the following are valid approaches for extreme valu...
Question 75: Calculate the 1-year 99% credit VaR of a portfolio of two bo...
Question 76: Which of the following are considered properties of a 'coher...
Question 77: Conditional default probabilities modeled under CreditPortfo...
Question 78: If the full notional value of a debt portfolio is $100m, its...
Question 79: Which of the formulae below describes incremental VaR where ...
Question 80: Which of the following is not a possible early warning indic...
Question 81: The CDS quote for the bonds of Bank X is 200 bps. Assuming a...
Question 82: The degree distribution of the nodes of the financial networ...
Question 83: When doing stress tests based on historical scenarios, if no...
Question 84: Which of the following is not a risk faced by a bank from ho...
Question 85: For an equity portfolio valued at V whose beta is , the valu...
Question 86: According to the Basel II standard, which of the following c...
Question 87: Which of the following statements is true: I. Confidence lev...
Question 88: Which of the following statements are true in relation to Hi...
Question 89: Which of the following is the most important problem to solv...
Question 90: If the duration of a bond yielding 10% is 6 years, the volat...
Question 91: Which of the following is not one of the 'three pillars' spe...
Question 92: Which of the following is not an approach used for stress te...
Question 93: An operational loss severity distribution is estimated using...
Question 94: As part of designing a reverse stress test, at what point sh...
Question 95: According to the Basel framework, reserves resulting from th...
Question 96: Which of the following methods cannot be used to calculate L...
Question 97: If two bonds with identical credit ratings, coupon and matur...
Question 98: The 99% 10-day VaR for a bank is $200mm. The average VaR for...
Question 99: Which of the following is not a limitation of the univariate...
Question 100: Which of the following describes rating transition matrices ...
Question 101: What is the annualized steady state volatility under a GARCH...
Question 102: The frequency distribution for operational risk loss events ...
Question 103: Which of the following statements is true: I. Recovery rate ...
Question 104: If the odds of default are 1:5, what is the probability of d...
Question 105: Which of the following is a most complete measure of the liq...
Question 106: Under the internal ratings based approach for risk weighted ...
Question 107: What does a middle office do for a trading desk?...
Question 108: The risk that a counterparty fails to deliver its obligation...
Question 109: Which of the following statements is true in relation to col...
Question 110: Which of the following are measures of liquidity risk I. Liq...
Question 111: Which of the following statements is true in respect of a no...
Question 112: Which of the following are valid objectives of a reverse str...
Question 113: An assumption of normality when returns data have fat tails ...
Question 114: Which of the following formulae describes Marginal VaR for a...
Question 115: What is the risk horizon period used for credit risk as gene...
Question 116: Which of the following is true in relation to a Contingency ...
Question 117: If the systematic VaR for an equity portfolio is $100 and th...
Question 118: An asset has a volatility of 10% per year. An investment man...
Question 119: Which of the following cannot be used to address the issue o...
Question 120: Which of the following statements are true: I. Pre-settlemen...
Question 121: Which of the following is NOT true in respect of bilateral c...
Question 122: Which of the following are valid methods for selecting an ap...
Question 123: Which of the following was not a policy response introduced ...
Question 124: The definition of operational risk per Basel II includes whi...
Question 125: Which of the following statements is true? I. It is sufficie...