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 20,2024.
- 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 20,2024
What is the 1-day VaR at the 99% confidence interval for a cash flow of $10m due in 6 months time? The risk free interest rate is 5% per annum and its annual volatility is 15%. Assume a 250 day year.
- A . 5500
- B . 1744500
- C . 109031
- D . 85123
The frequency distribution for operational risk loss events can be modeled by which of the following distributions:
I. The binomial distribution
II. The Poisson distribution
III. The negative binomial distribution
IV. The omega distribution
- A . I, II and III
- B . I and III
- C . I, III and IV
- D . I, II, III and IV
Which of the following are considered properties of a ‘coherent’ risk measure:
I. Monotonicity
II. Homogeneity
III. Translation Invariance
IV. Sub-additivity
- A . II and III
- B . II and IV
- C . I and III
- D . All of the above
Which of the following statements are true with respect to stress testing:
I. Stress testing results in a dollar estimate of losses
II. The results of stress testing can replace VaR as a measure of risk as they are better grounded in reality
III. Stress testing provides an estimate of losses at a desired level of confidence
IV. Stress testing based on factor shocks can allow modeling extreme events that have not occurred in the past
- A . I and IV
- B . I, II and IV
- C . II and III
- D . II, III and IV
For a US based investor, what is the 10-day value-at risk at the 95% confidence level of a long spot position of EUR 15m, where the volatility of the underlying exchange rate is 16% annually. The current spot rate for EUR is 1.5. (Assume 250 trading days in a year).
- A . 526400
- B . 2632000
- C . 1184400
- D . 5922000
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A . CreditPortfolio View
- B . The contingent claims approach
- C . The CreditMetrics approach
- D . The actuarial approach
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A . CreditPortfolio View
- B . The contingent claims approach
- C . The CreditMetrics approach
- D . The actuarial approach
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A . CreditPortfolio View
- B . The contingent claims approach
- C . The CreditMetrics approach
- D . The actuarial approach
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A . CreditPortfolio View
- B . The contingent claims approach
- C . The CreditMetrics approach
- D . The actuarial approach
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A . CreditPortfolio View
- B . The contingent claims approach
- C . The CreditMetrics approach
- D . The actuarial approach
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