8010試験無料問題集（242題）「PRMIA Operational Risk Manager (ORM) 認定」

出題：1

Which of the following are valid approaches to calculating potential future exposure (PFE) forcounterparty risk:
I. Add a percentage of the notional to the mark-to-market value
II. Monte Carlo simulation
III. Maximum Likelihood Estimation
IV. Parametric Estimation

A. III and IV

B. All of the able

C. I and II

D. I, III and IV

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：2

Which of the following is the most accurate description of EPE (Expected Positive Exposure):

A. The average of the distribution of positive exposures at a specified future date

B. Weighted average of thefuture positive expected exposure across a time horizon.

C. The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date

D. The maximum average credit exposure over a period of time

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：3

Under thebasic indicator approach to determining operational risk capital, operational risk capital is equal to:

A. 15% of the average gross income of the past five years

B. 15% of the average net income (considering only thepositive years) of the past three years

C. 15% of the average gross income (considering only the positive years) of the past three years

D. 25% of the average gross income (considering only the positive years) of the past three years

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：4

Which of the following is not a risk faced by a bank from holding a portfolio of residential mortgages?

A. The risk that the homeowners will pay the mortgage off before they are due

B. The risk that mortgage interest rates will rise in the future

C. The risk that the homeowners will not be able to pay their mortgage when they are due

D. The risk that CDSspreads on the bank's debt will rise making funding more expensive

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：5

Changes in which of the following do not affect the expected default frequencies (EDF) under the KMV Moody's approach to credit risk?

A. Changes in asset volatility

B. Changes in the debt level

C. Changes in the firm's market capitalization

D. Changes in the risk free rate

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：6

Loss from a lawsuit from an employee due to physical harm caused while at work is categorized per Basel II as:

A. Unsafe working environment

B. Execution delivery and process management

C. Damage to physical assets

D. Employment practices and workplace safety

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：7

Which of the following measures can be used to reduce settlement risks:

A. providing for physical delivery instead of netted cash settlements

B. increasing the timing differences between the two legs of the transaction

C. all of the above

D. escrow arrangements using a central clearing house

正解：A 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：8

A cumulative accuracy plot:

A. is a measure of the correctness of VaR calculations

B. measures rating accuracy

C. measures accuracy of default probabilities observed empirically

D. measures the accuracy of credit risk estimates

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：9

For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:

A. Aggregation risk, from selecting an incorrect value of estimated correlations between different operational risk estimates

B. Choice of incorrect parameters for loss severity distributions

C. Choice of an incorrect distribution for loss event frequencies

D. Insufficient number of simulations when building the loss distribution

正解：A 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：10

The definition of operational risk per Basel II includes which of the following:
I. Riskof loss resulting from inadequate or failed internal processes, people and systems or from external events II. Legal risk III. Strategic risk IV. Reputational risk

A. I and III

B. I and II

C. I, II, III and IV

D. II and III

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

8010試験無料問題集「PRMIA Operational Risk Manager (ORM) 認定」