PRMIA 8008 Exam III: Risk Management Frameworks . Operational Risk . Credit Risk . Counterparty Risk . Market Risk . ALM . FTP – 2015 Edition Online Training
PRMIA 8008 Online Training
The questions for 8008 were last updated at Nov 19,2024.
- Exam Code: 8008
- Exam Name: Exam III: Risk Management Frameworks . Operational Risk . Credit Risk . Counterparty Risk . Market Risk . ALM . FTP - 2015 Edition
- Certification Provider: PRMIA
- Latest update: Nov 19,2024
Regulatory arbitrage refers to:
- A . the practice of transferring business and profits to jurisdictions (such as those in other countries) to avoid or reduce capital adequacy requirements
- B . the practice of structuring a financial institution’s business as a bank holding company to arbitrage the differing capital and credit rating requirements for different business lines
- C . the practice of investing and financing decisions being driven by associated regulatory capital requirements as opposed to the true underlying economics of these decisions
- D . All of the above
According to the Basel II standard, which of the following conditions must be satisfied before a bank can use ‘mark-to-model’ for securities in its trading book?
I. Marking-to-market is not possible
II. Market inputs for the model should be sourced in line with market prices
III. The model should have been created by the front office
IV. The model should be subject to periodic review to determine the accuracy of its performance
- A . I, II and IV
- B . II and III
- C . I, II, III and IV
- D . III and IV
For identical mean and variance, which of the following distribution assumptions will provide a higher estimate of VaR at a high level of confidence?
- A . A distribution with kurtosis = 8
- B . A distribution with kurtosis = 0
- C . A distribution with kurtosis = 2
- D . A distribution with kurtosis = 3
A stock’s volatility under EWMA is estimated at 3.5% on a day its price is $10. The next day, the price moves to $11.
What is the EWMA estimate of the volatility the next day? Assume the persistence parameter = 0.93.
- A . 0.0421
- B . 0.0224
- C . 0.0429
- D . 0.0018
CORRECT TEXT
A Monte Carlo simulation based VaR can be effectively used in which of the following cases:
- A . When returns data cannot be analytically modeled
- B . When returns are discontinuous or display large jumps
- C . Where analytical methods are too complex to effectively use
- D . All of the above
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
- A . III only
- B . I only
- C . I and II
- D . II and III
Which of the following are measures of liquidity risk
I. Liquidity Coverage Ratio
II. Net Stable Funding Ratio
III. Book Value to Share Price
IV. Earnings Per Share
- A . III and IV
- B . I and II
- C . II and III
- D . I and IV
Which of the following are measures of liquidity risk
I. Liquidity Coverage Ratio
II. Net Stable Funding Ratio
III. Book Value to Share Price
IV. Earnings Per Share
- A . III and IV
- B . I and II
- C . II and III
- D . I and IV
Which of the following are measures of liquidity risk
I. Liquidity Coverage Ratio
II. Net Stable Funding Ratio
III. Book Value to Share Price
IV. Earnings Per Share
- A . III and IV
- B . I and II
- C . II and III
- D . I and IV
Which of the following is not a credit event under ISDA definitions?
- A . Restructuring
- B . Obligation accelerations
- C . Rating downgrade
- D . Failure to pay
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