PRMIA 8010 Operational Risk Manager (ORM) Exam Online Training

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1. Which of the following statements are correct?

I. A reliance upon conditional probabilities and a-priori views of probabilities is called the 'frequentist' view

II. Knightian uncertainty refers to things that might happen but for which probabilities cannot be evaluated

III. Risk mitigation and risk elimination are approaches to reacting to identified risks

IV. Confidence accounting is a reference to the accounting frauds that were seen in the past decadeas a reflection of failed governance processes

2. Under the standardized approach to calculating operational risk capital under Basel II, negative regulatory capital charges for any of the business units:

3. Credit exposure for derivatives is measured using

4. Which of the following are valid approaches for extreme value analysis given a dataset:

I. The Block Maxima approach

II. Least squares approach

III. Maximum likelihood approach

IV. Peak-over-thresholds approach

5. Which of the following formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.)

A)





B)





C)





D)

All of the above

6. Which of the following should be included when calculating the Gross Income indicator used to calculate operational risk capital under the basic indicator and standardized approaches under Basel II?

7. A loan portfolio's full notional value is $100, and its value in a worst case scenario at the 99% level of confidence is $65. Expected losses on the portfolio are estimated at 10% .

What is the level of economic capital required to cushion unexpected losses?

8. Which of the following can be used to reduce credit exposures to a counterparty:

I. Netting arrangements

II. Collateral requirements

III. Offsetting trades with other counterparties

IV. Credit default swaps

9. Which of the following is NOT an approach used to allocate economic capital to underlying business units:

10. For a given notional amount, which of the following carries the greatest counterparty exposure (assuming the same counterparty credit rating for each):


 

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