PRMIA 8010 Actual Free Exam Questions & Community Discussion

Under the contingent claims approach to measuring credit risk, which of the following factors does NOT affect credit risk:

Which of the following is the best description of the spread premium puzzle:

A loan portfolio's full notional value is $100, and its value in a worst case scenario at the 99% level of confidence is $65. Expected losses on the portfolio are estimated at 10%. What is the level of economic capital required to cushion unexpected losses?

The cumulative probability of default for a security for 4 years is 11.47%. The marginal probability of default for the security for year 5 is 5% during year 5. What is the cumulative probability of default for the security for 5 years?

Which of the following is not a credit event under ISDA definitions?

When compared to a high severity low frequency risk, the operational risk capital requirement for a low severity high frequency risk is likely to be:

When modeling severity of operational risk losses using extreme value theory (EVT), practitioners often use which of the following distributions to model loss severity:
I. The 'Peaks-over-threshold' (POT) model
II. Generalized Pareto distributions
III. Lognormal mixtures
IV. Generalized hyperbolic distributions

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

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?

The CDS quote for the bonds of Bank X is 200 bps. Assuming a recovery rate of 40%, calculate the default hazard rate priced in the CDS quote.

Which of the following is not a parameter to be determined by the risk manager that affects the level of economic credit capital:

Whichof the following statements are true in relation to Historical Simulation VaR?
I. Historical Simulation VaR assumes returns are normally distributed but have fat tails II. It uses full revaluation, as opposed to delta or delta-gamma approximations III. Acorrelation matrix is constructed using historical scenarios IV. It particularly suits new products that may not have a long time series of historical data available

In estimating credit exposure for a line of credit, it is usual to consider:

What isthe risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?