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 Apr 23,2024.
- 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: Apr 23,2024
Which of the following would not be a part of the principal component structure of the term structure of futures prices?
- A . Curvature component
- B . Trend component
- C . Parallel component
- D . Tilt component
Loss provisioning is intended to cover:
- A . Unexpected losses
- B . Losses in excess of unexpected losses
- C . Both expected and unexpected losses
- D . Expected losses
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.
- A . 0.02
- B . 0.104
- C . 0.1471
- D . None of the above.
If and are the expected rate of return and volatility of an asset whose prices are log-normally distributed, and a random drawing from a standard normal distribution, we can simulate the asset’s returns using the expressions:
- A . – + .
- B . + .
- C . / .
- D . – .
Which of the following statements is true?
I. It is sufficient to ensure that a parent entity has sufficient excess liquidity to cover a liquidity shortfall for a subsidiary.
II. If a parent entity has a shortfall of liquidity, it can always rely upon any excess liquidity that its foreign subsidiaries might have.
III. Wholesale funding sources for a bank refer to stable sources of funding provided by the central bank.
IV. Funding diversification refers to diversification of both funding sources and funding tenors.
- A . IV
- B . III and IV
- C . I and III
- D . I and IV
The loss severity distribution for operational risk loss events is generally modeled by which of the following distributions:
I. the lognormal distribution
II. The gamma density function
III. Generalized hyperbolic distributions
IV. Lognormal mixtures
- A . II and III
- B . I, II and III
- C . I, II, III and IV
- D . I and III
Which of the following cannot be used as an internal credit rating model to assess an individual borrower:
- A . Distance to default model
- B . Probit model
- C . Logit model
- D . Altman’s Z-score
If the 1-day VaR of a portfolio is $25m, what is the 10-day VaR for the portfolio?
- A . $7.906m $79.06m
- B . $250m
- C . Cannot be determined without the confidence level being specified
Which of the following statements are true:
I. Top down approaches help focus management attention on the frequency and severity of loss events, while bottom up approaches do not.
II. Top down approaches rely upon high level data while bottom up approaches need firm specific risk data to estimate risk.
III. Scenario analysis can help capture both qualitative and quantitative dimensions of operational risk.
- A . III only
- B . II and III
- C . I only
- D . II only
The results of ‘desk-level’ stress tests cannot be added together to arrive at institution wide estimates because:
- A . Desk-level stress tests tend to ignore higher level risks that are relevant to the institution but completely outside the control of the individual desks.
- B . Desk-level stress tests focus on desk specific risks that may be minor or irrelevant in the larger scheme at the institution level.
- C . Desk-level stress tests tend to focus on extreme movements in risk parameters (such as
volatility) without considering economy wide scenarios that may represent more realistic
and consistent situations for the institution. - D . All of the above
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