Exam Dumps 8010 Practice Free Latest PRMIA Practice Tests [Q42-Q56]

QUESTION 42
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 43
The capital adequacy ratio applied to risk weighted assets for the calculation of capital requirements for credit risk per Basel II is:

QUESTION 44
Which of the following formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.) A)

B)

C)

D)
All of the above

QUESTION 45
Which of the following credit risk models includes a consideration of macro economic variables such asunemployment, balance of payments etc to assess credit risk?

QUESTION 46
If the odds of default are 1:5, what is the probability of default?

QUESTION 47
An investor enters into a 5-year total return swap with Bank A, with the investor paying a fixed rate of 6% annually on a notional value of $100m to the bank and receiving thereturns of the S&P500 index with an identical notional value. The swap is reset monthly, ie the payments are exchanged monthly. On Jan 1 of the fourth year, after settling the last month’s payments, the bank enters bankruptcy. What is the legal claim thatthe hedge fund has against the bank in the bankruptcy court?

QUESTION 48
A stock that follows the Weiner process has its future price determined by:

QUESTION 49
If the full notional value of a debt portfolio is $100m, its expected value in a year is $85m, and the worst value of the portfolio in one year’s time at 99% confidence level is $60m, then what is the credit VaR?

QUESTION 50
Which of the following statements are true:
I. Pre-settlement risk is the risk that one of the parties to a contract might default prior to the maturity date or expiry of the contract.
II. Pre-settlement risk can be partly mitigated by providing for early settlement in the agreements between the counterparties.
III. The current exposure from an OTC derivatives contract is equivalent to its current replacement value.
IV. Loan equivalent exposures are calculated even for exposures that are not loans as a practical matter for calculating credit risk exposure.

QUESTION 51
Which of the following is not a tool available to financial institutions for managing credit risk:

QUESTION 52
Which of the following is not an approach proposed by the Basel II framework to compute operational riskcapital?

QUESTION 53
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

QUESTION 54
When modeling operational risk using separate distributions for loss frequency and loss severity, whichof the following is true?

QUESTION 55
If a borrower has a default probability of 12% over one year, what is the probability of default over a month?

QUESTION 56
Which of the following statements are correct?
I. A reliance upon conditional probabilities and a-priori views of probabilities is called the ‘frequentist’ view II. Knightian uncertainty refers to thingsthat might happen but for which probabilities cannot be evaluated III. Risk mitigation and risk elimination are approaches to reacting to identified risks IV. Confidence accounting is a reference to the accounting frauds that were seen in the past decadeas a reflection of failed governance processes