無料更新されたPRMIA 8011テストエンジン問題には330問あります [Q131-Q155]

無料更新されたPRMIA 8011テストエンジン問題には330問あります

ベストな問題集を使おうPRMIA Certification 8011専門試験問題

質問 # 131
Which of the following objectives are targeted by rating agencies when assigning ratings:
I. Ratings accuracy
II. Ratings stability
III. High accuracy ratio (AR)
IV. Ranked ratings

• A. II and III
• B. I and II
• C. III and IV
• D. I, II and III

正解：B

解説：
Rating agencies target both accuracy and stability when they assign ratings. These two objectives can sometimes conflict, so a balance needs to be struck between the two. Rating agencies do not target any particular 'accuracy ratio' or rankings. Therefore Choice 'c' is the correct answer.

質問 # 132
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.

• A. II and III
• B. I, II, III and IV
• C. III and IV
• D. II and IV

正解：B

解説：
Pre-settlement risk is the risk that one of the counterparties defaults prior to the date for the maturity of the transaction in question. This may be an unrelated default, in fact there may have been no default on that particular contract, but the party may have defaulted on its other obligations, or filed for bankruptcy. To deal with such cases and to protect the interests of both the parties, it is common to provide for immediate termination of positions and settlement based on the current replacement value of the contracts. Therefore statements I and II are correct.
Statement III is correct as well - the exposure from an OTC derivative contract derives from its current replacement value, and not the notional. If the current replacement value is negative, then the credit exposure is considered equal to zero.
Statement IV is correct as it is quite common to restate all exposures - those from credit lines, OTC derivatives etc - in loan equivalent terms prior to estimating credit risk.

質問 # 133
Which of the following correctly describes a reverse stress test:

• A. A stress test that requires a role reversal between risk managers and the risk taking business units in order to determine credible scenarios
• B. Stress tests that are prescribed and conducted by a regulator in addition to the tests done by a bank
• C. Stress tests that start from a known stress test outcome and then ask what events could lead to such an outcome for the bank
• D. A stress test that considers only qualitative factors that go beyond mathematical modeling to examine feedback loops and the effect of macro-economic fundamentals

正解：C

解説：
Generally, stress tests consider a shock or a severe scenario in order to determine the 'what-if' that circumstance were to materialize. They focus on the outcome based upon a set of shocks. In a reverse stress test, the outcome is assumed to be known (generally something as severe as bankruptcy, non-compliance with capital requirements etc), and the test is intended to work out what shocks or events would lead to such an outcome.
Reverse stress tests therefore start from a known stress test outcome (such as breaching regulatory captial ratios, illiquidity or insolvency) and then asking what events could lead to such an outcome for the bank. This can be quite a challenging task. Principle 9 laid out in the BCBS document on stress testing (May 2009) (which is part of the PRM syllabus effective March 1, 2010) lays down the expectations relating to reverse stress tests.
Therefore Choice 'a' is the correct answer. All the other choices are nonsensical.

質問 # 134
Which of the following need to be assumed to convert a transition probability matrix for a given time period to the transition probability matrix for another length of time:
I. Time invariance
II. Markov property
III. Normal distribution
IV. Zero skewness

• A. II and III
• B. I and II
• C. I, II and IV
• D. III and IV

正解：B

解説：
Time invariance refers to all time intervals being similar and identical, regardless of the effects of business cycles or other external events. The Markov property is the assumption that there is no ratings momentum, and that transition probabilities are dependent only upon where the rating currently is and where it is going to.
Where it has come from, or what the past changes in ratings have been, have no effect on the transition probabilities.
Rating agencies generally provide transition probability matrices for a given period of time, say a year. The risk analyst may need to convert these into matrices for say 6 months, 2 years or whatever time horizon he or she is interested in. Simplifying assumptions that allow him to do so using simple matrix multiplication include these two assumptions - time invariance and the Markov property. Thus Choice 'c' is the correct answer. The other choices (normal distribution and zero skewness) are non-sensical in this context.

質問 # 135
What is the annualized steady state volatility under a GARCH model where alpha is 0.1, beta is 0.8 and omega is 0.00025?

• A. 0.08
• B. 0.0025
• C. 0.05
• D. 0.1

正解：C

解説：
Steady state variance under the GARCH model is given by the formula #/(1 - # - #). In this case, steady state variance therefore works out to 0.00025/(1 - 0.1 - 0.8) = 0.0025. Since this is the variance, volatility is the square root of 0.0025, which works out to 0.05.
Thus, 5% (=0.05) is the correct answer, and the others are incorrect.
Also recall the following in respect of GARCH:
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質問 # 136
A Monte Carlo simulation based VaR can be effectively used in which of the following cases:

• A. When returns data cannot be analytically modeled
• B. When returns are discontinuous or display large jumps
• C. All of the above
• D. Where analytical methods are too complex to effectively use

正解：C

解説：
Monte Carlo simulations can be effectively used in all cases where an analytical estimate of the VaR cannot be made for any reason - which may include complexity of portfolios, discontinuities or non-linearity in returns or just the plain unavailability of closed form analytical models. Therefore Choice 'd' is the correct answer.

質問 # 137
The key difference between 'top down models' and 'bottom up models' for operational risk assessment is:

• A. Top down approaches to operational risk are based upon an analysis of key risk drivers, while bottom up approaches consider causality in risk scenarios.
• B. Top down approaches to operational risk calculate the implied operational risk using available data such as income volatility, capital etc; while bottom up approaches use causal factors, risk drivers and other factors to get an aggregated estimate of risk.
• C. Bottom up approaches to operational risk are based upon an analysis of key risk drivers, while top down approaches consider causality in risk scenarios.
• D. Bottom up approaches to operational risk calculate the implied operational risk using available data such as income volatility, capital etc; while top down approaches use causal factors, risk drivers and other factors to get an aggregated estimate of risk.

正解：B

解説：
Top down approaches rely upon available data such as total capital, income volatility, peer group information etc and attempt to imply the capital attributable to operational risk. They do not consider firm specific scenarios or causal factors. Bottom up approaches on the other hand attempt to determine operational risk capital based upon an identification and quantification of firm specific risks. Bottom up approaches help determine a traditional loss distribution from which capital requirements can be determined at a given level of confidence.
Therefore Choice 'd' is the correct answer.

質問 # 138
Under the CreditPortfolio View approach to credit risk modeling, which of the following bestdescribes the conditional transition matrix:

• A. The conditional transition matrix is the unconditional transition matrix adjusted for the state of the economy and other macro economic factors being modeled
• B. The conditional transition matrix is the transition matrix adjusted for the distribution of the firms' asset returns
• C. The conditional transition matrix is the transition matrix adjusted for the risk horizon being different from that of the transition matrix
• D. The conditional transition matrix is the unconditional transition matrix adjusted for probabilities of defaults

正解：A

解説：
Under the CreditPortfolio View approach, the credit rating transition matrix is adjusted for the state of the economy in a way as to increase the probability of defaults when the economy is not doing well, and vice versa. Therefore Choice 'a' is the correct answer. The other choices represent nonsensical options.

質問 # 139
The 99% 10-day VaR for a bank is $200mm. The average VaR for the past 60 days is $250mm, and the bank specific regulatory multiplier is 3. What is the bank's basic VaR based market risk capital charge?

• A. $200mm
• B. $750mm
• C. $600mm
• D. $250mm

正解：B

解説：
The current Basel rules for the basic VaR based charge for market risk capital set market risk capital requirements as the maximum of the following two amounts:
1. 99%/10-day VaR,
2. Regulatory Multiplier x Average 99%/10-day VaR of the past 60 days
The 'regulatory multiplier' is a number between 3 and 4 (inclusive) calculated based on the number of 1% VaR exceedances in the previous 250 days, as determined by backtesting.
- If the number of exceedances is <= 4, then the regulatory multiplier is 3.
- If the number of exceedances is between 5 and 9, then the multiplier = 3 + 0.2*(N-4), where N is the number of exceedances.
- If the number of exceedances is >=10, then the multiplier is 4.
So you can see that in most normal situations the risk capital requirement will be dictated by the multiplier and the prior 60-day average VaR, because the product of these two will almost often be greater than the current 99% VaR.
The correct answer therefore is = max(200mm, 3*250mm) = $750mm.
Interestingly, also note that a 99% VaR should statistically be exceeded 1%*250 days = 2.5 times,which means if the bank's VaR model is performing as it should, it will still need to use a reg multiplier of 3.

質問 # 140
Which of the following statements are true:
I. A high score according to Altman's Z-Score methodology indicates a lower default risk II. A high score according to the Probit or Logit models indicates a higher default risk III. A high score according to Altman's Z-Score methodology indicates a higher default risk IV. A high score according to the Probit or Logit models indicates a lower default risk

• A. II and III
• B. I and IV
• C. I and II
• D. III and IV

正解：C

解説：
A high score under the probit and logit models indicates a higher default risk, while under Altman's methodology it indicates a lower default risk. Therefore Choice 'd' is the correct answer.

質問 # 141
If the cumulative default probabilities of default for years 1 and 2 for a portfolio of credit risky assets is 5% and 15% respectively, what is the marginal probability of default in year 2 alone?

• A. 10.53%
• B. 15.79%
• C. 10.00%
• D. 11.76%

正解：A

解説：
One way to think about this question is this: we are provided with two pieces of information: if the portfolio is worth $100 to start with, it will be worth $95 at the end of year 1 and $85 at the end of year 2. What it is asking for is the probability of default in year 2, for the debts that have survived year 1. This probability is $10
/$95 = 10.53%. Choice 'b' is the correct answer.
Note that marginal probabilities of default are the probabilities for default for a given period, conditional on survival till the end of the previous period. Cumulative probabilities of default are probabilities of default by a point in time, regardless of when the default occurs. If the marginal probabilities of default for periods 1, 2... n are p1, p2...pn, then cumulative probability of default can be calculated as Cn = 1 - (1 - p1)(1-p2)...(1-pn). For this question, we can calculate the probability of default for year 2 as [1 - (1 - 5%)(1 - 10.53%)] = 15%.

質問 # 142
Which of the following statements is a correct description of the phrase present value of a basis point?

• A. It refers to the discounted present value of 1/100th of 1% of a future cash flow
• B. It refers to the present value impact of 1 basis point move in an interest rate on a fixed income security
• C. It is the principal component representation of the duration of a bond
• D. It is another name for duration

正解：B

解説：
This is a trick question, no great science to it. Remember that the 'present value of a basis point' refers to PV01, which is the same as BPV (basis point value) referred to in the PRMIA handbook. In other textbooks, the same term is also variously called 'DV01' (dollar value of a basis point). Remember these other terms too.
PV01, or the present value of a basis point, is the change in the value of a bond (or other fixed income security) from a 1 basis point change in the yield. PV01 is calculated as (Price * Modified Duration/10,000).
Therefore Choice 'a' is the correct answer.

質問 # 143
Under the contingent claims approach to measuring credit risk, which of the following factors does NOT affect credit risk:

• A. Leverage in the capital structure
• B. Volatility of the firm's asset values
• C. Cash flows of the firm
• D. Maturity of the debt

正解：C

解説：
Under the contingent claims approach, credit risk is modeled as the value of a put option on the value of the firm's assets with a strike equal to the face value of the debt and maturity equal to the maturity of the obligation. The cost of credit risk is determined by the leverage ratio, the volatility of the firm's assets and the maturity of the debt. Cash flows are not a part of the equation. Therefore Choice 'a' is the correct answer.

質問 # 144
Which of the following are valid objectives of a reverse stress test:
I. Ensure that a firm can survive for long enough after risks have materialized for it to either regainmarket confidence, restructure or be sold, or be closed down in an orderly manner, II. Discover the vulnerabilities of the current business plan, III. Better integrate business and capital planning, IV. Create a 'zero-failure' environment at the systemic level in the financial sector

• A. I, II and III
• B. II and III
• C. I and IV
• D. All of the above

正解：A

解説：
Statement I is true. According to the statement CP08/24: Stress and scenario testing (December 2008) issued by the FSA in the UK, an underlying objective of reverse stress tests is to ensure that a firm can survive long enough after risks have crystallized for one of the following to occur:
- the market decides that its lack of confidence is unfounded and recommences transacting with the firm;
- the firm down-sizes and re-structures its business;
- the firm is taken over, or its business is transferred in an orderly manner; or
- public authorities take the firm over, or wind down its business in an orderly manner.
Statement II and III are true. The same statement clarifies the intention of the reverse stress testing requirement, which is to encourage firms to: explore more fully the vulnerabilities of theirbusiness model (including 'tail risks'); make decisions that better integrate business and capital planning; and improve their contingency planning.
Statement IV is incorrect. Since the question is asking for the statement which is NOT an objective for reverse stress tests, Choice 'b' is the correct answer. The same statement clarifies that the introduction of a reverse- stress test requirement should not be interpreted as indicating that the FSA is pursuing a 'zero-failure' policy.
In the FSA's view, such a policy is neither possible, nor desirable.

質問 # 145
A risk management function is best organized as:

• A. report independently of the risk taking functions
• B. a part of the trading desks and other risk taking teams
• C. integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of the organization.
• D. reporting directly to the traders, as to be closest to the point at which risks are being taken

正解：A

解説：
The point that this question is trying to emphasize is the independence of the risk management function. The risk function should be segregated from the risk taking functions as to maintain independence and objectivity.
Choice 'd', Choice 'c' and Choice 'a' run contrary to this requirement of independence, and are therefore not correct. The risk function should report directly to senior levels, for example directly to the audit committee, and not be a part of the risk taking functions.

質問 # 146
The diversification effect is responsible for:

• A. the super-additivity property of market risk VaR assessments
• B. total VaR numbers being greater than the sum of the individual VaRs for underlying portfolios
• C. the sub-additivity property of market risk VaR assessments
• D. VaR being applicable only to short term horizons

正解：C

解説：
Any good risk measure has the property that it is sub-additive, which means the whole is less than the sum of the parts. In the case of VaR, sub-additivity arises due to the diversification effect, or said differently, due to the correlation between different assets being less than one. Therefore Choice 'd' is the correct answer.
Super-additivity is just the opposite of sub-additivity, ie, the whole is greater than the sum of the parts. Good risk measures do not have super-additivity. Therefore Choice 'b' is incorrect.
Choice 'c' states the same thing as Choice 'b' in different words, and is incorrect. Choice 'a' is non-sensical and incorrect.

質問 # 147
In respect of operational risk capital calculations, the Basel II accord recommends a confidence level and time horizon of:

• A. 99.9% confidence level over a 10 day time horizon
• B. 99.9% confidence level over a 1 year time horizon
• C. 99% confidence level over a 1 year time horizon
• D. 99% confidence level over a 10 year time horizon

正解：B

解説：
Choice 'd' represents the Basel II requirement, all other choices are incorrect.

質問 # 148
Which of the following statements is correct?

• A. Funding liquidity risks present themselves in the form of an adverse market impact on prices from a trade
• B. Market liquidity risk is idiosyncratic while funding liquidity risk is not
• C. Dynamic simulations of liquidity needs require an assumption of counterparty risk remaining constant
• D. Market liquidity risks present themselves in the form of higher bid offer spreads

正解：D

解説：
Simulations of liquidity needs can be of various types: historical simulations, where the current positions are subjected to the kind of liquidity shocks experienced in the past; static simulations, where a static view of current positions, counterparty credit position, and the business is considered; and dynamic simulations where all factors are dynamically changed including counterparty credit standing, changes to the current portfolio and behavioural aspects of the business. Choice 'b' is incorrect as dynamic simulations require no such assumptions.
Liquidity risk is often thought of in terms of market liquidity risk and funding liquidity risk. Market liquidity risk relates to the the liquidity for a particular type of asset drying up. For example, during the 2007-2009 crisis a large number of corporate bonds and structured products became extremely illiquid. Market liquidity risk manifests itself in the form of higher bid offer spreads, higher pricde impact, and a reduction in the normal market size (ie, the 'normal' size of a trade for which a dealer quote is valid for). Therefore Choice 'd' is correct. Similarly, Choice 'a' is incorrect as adverse price impact results from market liquidity risk and not funding liquidity risk.
Market liquidity risk applies to the entire market and all its participants. It is not idiosyncratic. Therefore Choice 'c' is incorrect too. Funding liquidity risk on the other hand applies to an individual institution that is under liquidity stress in the sense of not being able to meet its obligations such as margin or collateral calls because of a lack of liquid assets. Thus it is funding liquidity that is idiosyncratic. Market liquidity risk often leads to funding liquidity risks materializing as firms are unable to get to the funds they were relying upon due to assets becoming illiquid.

質問 # 149
For a corporate bond, which of the following statements is true:
I. The credit spread is equal to the default rate times the recovery rate II. The spread widens when the ratings of the corporate experience an upgrade III. Both recovery rates and probabilities of default are related to the business cycle and move in opposite directions to each other IV. Corporate bond spreads are affected by both the risk of default and the liquidity of the particular issue

• A. IV only
• B. III and IV
• C. I, II and IV
• D. III only

正解：B

解説：
The credit spread is equal to the default rate times the loss given default, or stated another way, default rate times (1 - recovery rate). It is not equal to the default rate times the recovery rate. Therefore statement I is not correct.
When ratings are upgraded by rating agencies, the spread contracts and not widen. Therefore statement II is not correct.
Both recovery rates and probabilities of default are related to the business cycle, and they move in opposite directions. Economic recessions witness an increase in the default rate and a decrease in the recovery rate, and economic expansions result in a decrease in the default rate and an increase in the recovery rates when default does happen. Therefore statement III is correct.
Bond spreads incorporate both the risk of default, but also considerations of liquidity in the case of corporate bonds. Hence statement IV is correct.

質問 # 150
An equity manager holds a portfolio valued at $10m which has a beta of 1.1. He believes the market may see a dip in the coming weeks and wishes to eliminate his market exposure temporarily. Market index futures are available and the current futures notional on these is $50,000 per contract. Which of the following represents the best strategy for the manager to hedge his risk according to his views?

• A. Buy 220 futures contracts
• B. Sell 220 futures contracts
• C. Sell 200 futures contracts
• D. Liquidate his portfolio as soon as possible

正解：B

解説：
The number of futures contracts to sell are equal to $10m x 1.1/$50,000 = 220. Liquidating his portfolio would reduce the beta to zero, but would also get rid of the bets he wants to play on. Therefore Choice 'c' is the correct answer.
(Note that futures and spot prices generally move together allowing futures positions to be used for hedging the risk against movement in spot prices. However there is a basis risk between spot and futures, therefore the a perfect hedge is never possible with futures. If interest rates move a great deal, spot and futures prices may diverge. Of course, this risk is generally quite low but may become amplified with large leveraged portfolios.
Just something to be aware of.)

質問 # 151
Which of the following represents a riskier exposure for a bank: A LIBOR based loan, or an Overnight Indexed Swap? Which of the two rates is expected to be higher?
Assume the same counterparty and the same notional.

• A. Overnight Index Swap; OIS rate will be higher
• B. Overnight Index Swap; LIBOR rate will be higher
• C. A LIBOR based loan; OIS rate will be higher
• D. A LIBOR based loan; LIBOR rate will be higher

正解：D

解説：
A LIBOR based loan requires cash to move from the lender to the borrower in the amount of the notional. The Overnight Index Swap requires only the exchange of interest payments, and therefore represents less risk.
Therefore the LIBOR based loan is a riskier exposure.
The LIBOR is generally higher than the OIS. In fact, the difference between the two, the LIBOR-OIS spread, is a standard measure of the risk premium in the market that goes up when the risk of default by counterparty banks is considered high. This is because when the market perceives the risk of default to be high, the participants need a risk premium to take on the default risk which is considerably lesser with the OIS.

質問 # 152
A bank expects the error rate in transaction data entry for a particular business process to be 0.005%. What is the range of expected errors in a day within +/- 2 standard deviations if there are 2,000,000 such transactions each day?

• A. 60 to 80 errors in a day
• B. 90 to 110 errors in a day
• C. 80 to 120 errors in a day
• D. 0 to 200 errors in a day

正解：C

解説：
Error rates are generally modeled using the Poisson distribution. Recall that the Poisson distribution has only one parameter -#- which is its mean and also its variance.
In the given case, the mean number of errors is 2,000,000 x 0.005% = 100. Since this is the variance as well, the standard deviation is #100 = 10. Therefore the range of outcomes within 2 standard deviations of the mean is 100 +/- (2*10) = 80 to 120 errors in a day.

質問 # 153
Calculate the 99% 1-day Value at Risk of a portfolio worth $10m with expected returns of 10% annually and volatility of 20%.

• A. 0
• B. 1
• C. 2
• D. 3

正解：C

解説：
Be wary of questions asking you to calculate VaR where the mean or expected returns are different from zero.
The VaR formula of z-value times standard deviation needs to have an adjustment for theexpected return [ie use VaR = z-value times standard deviation minus expected return]. In this case, the standard deviation for 1 day for the portfolio is =SQRT(1/250)*20%*$10m = $126,491. The VaR is therefore (2.326 * $126,491) - ($10,000,000 * 10% * 1/250) = $290,218.

質問 # 154
Which of the following are considered asset based credit enhancements?
I. Collateral
II. Credit default swaps
III. Close out netting arrangements
IV. Cash reserves

• A. I and IV
• B. I, II and IV
• C. II and IV
• D. I and III

正解：D

解説：
Credit enhancements come in two varieties: counterparty based, where the exercise of the credit enhancement requires a third party to pay, and this includes guarantees and CDS contracts. Asset based credit enhancements are based upon a physical asset in possession, and these include collateral and balances owed on other trades or transactions, and availed through close out netting arrangements.
Of the listed choices, I and III are asset based credit enhancements, and II is third party based. Cash reserves are not credit enhancements (unless held as collateral).

質問 # 155
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