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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.
The generalized Pareto distribution, when used in the context of operational risk, is used to model:
Which of the following statements are true:
I. Liquidity risks during time of crisis may be exacerbated by large collateral calls continuing over a period of time.
II. Stress tests are always separately modeled from VaR computations which cannot deal with stress scenarios of the kind considered in stress tests.
III. A maximum loss scenario considers the maximum possible loss given a 'plausibility constraint' that is based upon the joint probability of such a loss happening
When pricing credit risk for an exposure, which of the following is a better measure than the others:
There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the default correlation is 25%, what is the one year expected loss on this portfolio?
Which of the following statements is true in respect of different approaches to calculating VaR?
I. Linear or parametric VaR does not take correlations into account
II. For large portfolios with little or no optionality or other non-linear attributes, parametric VaR is an efficient approach to calculating VaR
III. For large portfolios with complex sources of risk and embedded optionalities, the full revaluation method of calculating VaR should be preferred
IV. Delta normal local revaluation based VaR is suitable for fixed income and option portfolios only
According to the implied capital model, operational risk capital is estimated as:
Ex-ante VaR estimates may differ from realized P&L due to:
I. the effect of intra day trading
II. timing differences in the accounting systems
III. incorrect estimation of VaR parameters
IV. security returns exhibiting mean reversion
If the returns of an asset display a strong tendency for mean reversion, what is the relationship between annualized volatility calculated based on daily versus weekly volatilities (using the square root of time rule)?
For a hypotherical UoM, the number of losses in two non-overlapping datasets is 24 and 32 respectively. The Pareto tail parameters for the two datasets calculated using the maximum likelihood estimation method are 2 and 3. What is an estimate of the tail parameter of the combined dataset?
