PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition - 8008 Exam Practice Test
Which of the following credit risk models includes a consideration of macro economic variables such as unemployment, balance of payments etc to assess credit risk?
Correct Answer: B
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Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):
Correct Answer: A
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Which of the following was not a policy response introduced by Basel 2.5 in response to the global financial crisis:
Correct Answer: C
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Which of the following does not affect the credit risk facing a lender institution?
Correct Answer: C
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The systemic manifestation of the liquidity crisis during the current credit crisis took many forms. Which of the following is not one of those forms?
Correct Answer: D
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Who has the ultimate responsibility for the overall stress testing programme of an institution?
Correct Answer: D
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Which of the following belong to the family of generalized extreme value distributions:
I. Frechet
II. Gumbel
III. Weibull
IV. Exponential
I. Frechet
II. Gumbel
III. Weibull
IV. Exponential
Correct Answer: B
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For a 10 year interest rate swap, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)
Correct Answer: C
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Which of the following statements is NOT true in relation to the recent financial crisis of 2007-08?
Correct Answer: C
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Which of the following steps are required for computing the total loss distribution for a bank for operational risk once individual UoM level loss distributions have been computed from the underlhying frequency and severity curves:
I. Simulate number of losses based on the frequency distribution
II. Simulate the dollar value of the losses from the severity distribution III. Simulate random number from the copula used to model dependence between the UoMs IV. Compute dependent losses from aggregate distribution curves
I. Simulate number of losses based on the frequency distribution
II. Simulate the dollar value of the losses from the severity distribution III. Simulate random number from the copula used to model dependence between the UoMs IV. Compute dependent losses from aggregate distribution curves
Correct Answer: A
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