Latest [Jun 24, 2022] Real PRMIA 8010 Exam Dumps Questions [Q14-Q33]

QUESTION 14
A risk analyst peforming PCA wishes to explain80% of the variance. The first orthogonal factor has a volatility of 100, and the second 40, and the third 30. Assume there are no other factors. Which of the factors will be included in the final analysis?

QUESTION 15
Concentration risk in a creditportfolio arises due to:

QUESTION 16
Under the standardized approach to calculating operational risk capital, how many business lines are a bank’s activities divided into per Basel II?

QUESTION 17
Under the KMV Moody’s approach to credit risk measurement, which of the following expressions describes the expected ‘default point’ value of assets at which the firm may be expected to default?

QUESTION 18
Loss provisioning is intended to cover:

QUESTION 19
What does a middle office do for a trading desk?

QUESTION 20
According to the implied capital model, operational risk capital is estimated as:

QUESTION 21
A key problem with return on equity as a measure of comparative performance is:

QUESTION 22
In respect of operational risk capital calculations, the Basel II accord recommends a confidence leveland time horizon of:

QUESTION 23
Identify the correct sequence of events as it unfolded in the credit crisis beginning 2007:
I. Mortgage defaults increased
II. Collapse in prices of unrelated assets as banks tried to create liquidity III. Banks refused to lend or transact with each other IV. Asset prices for CDOs collapsed

QUESTION 24
Conditional default probabilities modeled under CreditPortfolio view use a:

QUESTION 25
There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that exactly 1 of the three bonds will default.

QUESTION 26
The unexpected loss for a credit portfolio at a given VaR estimate is definedas:

QUESTION 27
Which of the following is true in relation to the application of Extreme Value Theory when applied to operational risk measurement?
I. EVT focuses on extreme losses that are generally not covered by standard distribution assumptions II. EVT considers the distribution of losses in the tails III. The Peaks-over-thresholds (POT) and the generalized Pareto distributions are used to model extreme value distributions IV. EVT is concerned with average losses beyond a given level of confidence

QUESTION 28
If the odds of default are 1:5, what is the probability of default?

QUESTION 29
The loss severity distribution for operational risk loss events is generally modeled by which of the following distributions:
I. the lognormal distribution
II. The gamma density function
III. Generalized hyperbolic distributions
IV. Lognormal mixtures

QUESTION 30
Which of the following are a CRO’s responsibilities:
I. Statutory financial reporting
II. Reporting to the audit committee
III. Compliance with risk regulatory standards
IV. Operational risk

QUESTION 31
The Altman credit risk score considers:

QUESTION 32
As the persistence parameter under EWMA is lowered, which of the following would be true:

QUESTION 33
Which of the following carry greater counterparty risk: a forward contract on a 10 year note, or a commercial paper carrying a AA credit rating with identicalmaturity and notional?