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8008 Practice Questions
PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
Last Update 2 days ago
Total Questions : 362
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Our free PRM Certification practice questions crafted to reflect the domains and difficulty of the actual exam. The detailed rationales explain the 'why' behind each answer, reinforcing key concepts about 8008. Use this test to pinpoint which areas you need to focus your study on.
Which of the following statements are true in relation to Monte Carlo based VaR calculations:
I. Monte Carlo VaR relies upon a full revalution of the portfolio for each simulation
II. Monte Carlo VaR relies upon the delta or delta-gamma approximation for valuation
III. Monte Carlo VaR can capture a wide range of distributional assumptions for asset returns
IV. Monte Carlo VaR is less compute intensive than Historical VaR
Which of the following losses can be attributed to credit risk:
I. Losses in a bond's value from a credit downgrade
II. Losses in a bond's value from an increase in bond yields
III. Losses arising from a bond issuer's default
IV. Losses from an increase in corporate bond spreads
In the case of historical volatility weighted VaR, a higher current volatility when compared to historical volatility:
Which of the following statements is true in relation to the Supervisory Capital Assessment Program (SCAP):
I. The SCAP is an annual exercise conducted by the Treasury Department to determine the health of key financial institutions in the US economy
II. The SCAP was essentially a stress test where the stress scenarios were specified by the regulators
III. Capital buffers calculated under the SCAP represented the amount of capital that the institutions covered by SCAP held in excess of Basel II requirements
IV. The SCAP focused on both total Tier 1 capital as well as Tier 1 common capital
What percentage of average annual gross income is to be held as capital for operational risk under the basic indicator approach specified under Basel II?
Which of the following represent the parameters that define a VaR estimate?
According to the Basel II framework, subordinated term debt that was originally issued 4 years ago with a maturity of 6 years is considered a part of:
The probability of default of a security over a 1 year period is 3%. What is the probability that it would not have defaulted at the end of four years from now?
