8008試験無料問題集「PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition 認定」
Which of the following statements is true in relation to a normal mixture distribution:
I. The mixture will always have a kurtosis greater than a normal distribution with the same mean and variance II. A normal mixture density function is derived by summing two or more normal distributions III. VaR estimates for normal mixtures can be calculated using a closed form analytic formula
I. The mixture will always have a kurtosis greater than a normal distribution with the same mean and variance II. A normal mixture density function is derived by summing two or more normal distributions III. VaR estimates for normal mixtures can be calculated using a closed form analytic formula
正解：B
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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?
正解：D
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Which of the following are valid techniques used when performing stress testing based on hypothetical test scenarios:
I. Modifying the covariance matrix by changing asset correlations
II. Specifying hypothetical shocks
III. Sensitivity analysis based on changes in selected risk factors
IV. Evaluating systemic liquidity risks
I. Modifying the covariance matrix by changing asset correlations
II. Specifying hypothetical shocks
III. Sensitivity analysis based on changes in selected risk factors
IV. Evaluating systemic liquidity risks
正解：B
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Which of the following statements is true:
I. Expected credit losses are charged to the unit's P&L while unexpected losses hit risk capital reserves.
II. Credit portfolio loss distributions are symmetrical
III. For a bank holding $10m in face of a defaulted debt that it acquired for $2m, the bank's legal claim in the bankruptcy court will be $10m.
IV. The legal claim in bankruptcy court for an over the counter derivatives contract will be the notional value of the contract.
I. Expected credit losses are charged to the unit's P&L while unexpected losses hit risk capital reserves.
II. Credit portfolio loss distributions are symmetrical
III. For a bank holding $10m in face of a defaulted debt that it acquired for $2m, the bank's legal claim in the bankruptcy court will be $10m.
IV. The legal claim in bankruptcy court for an over the counter derivatives contract will be the notional value of the contract.
正解：C
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