[2023年更新]合格できる8010試験にはリアルな問題解答
8010試験問題ゲット最新[2023]と正解回答
PRMIA 8010: Operational Risk Manager (ORM) Exam は、グローバルに認められており、リスク管理のキャリアを新たな高みに導くための優れた選択肢です。この試験に合格すると、企業に潜在的に害を及ぼす可能性のあるオペレーショナルリスクを特定し、軽減するために必要な知識と専門知識を持つことができます。この試験は、オペレーショナルリスク管理において成功したキャリアを開発・維持することに真剣に取り組んでいることを潜在的な雇用主に示す優れた方法です。
質問 # 143
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?
- A. 0
- B. 1
- C. 2
- D. 3
正解：D
解説：
Explanation
Expected value = $90 ($100 - 10%)
Value at 99% confidence level = $65
Therefore economic capital required at this level of confidence = $90 - $65 = $25.
Choice 'a' is the correct answer, the other choices are not.
(We can also look at it this way as explained in section III.B.6.2.2 of the handbook: Economic capital is designed to absorb unexpected losses, which areequal to total losses at a given confidence level minus expected losses. (Expected losses are to be covered by credit reserves). Total losses are $100-$65=$35, and expected losses are 10%*$100=$10, therefore economic capital should be $35-$10=$25.)
質問 # 144
A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?
- A. The bullet bond
- B. Indeterminate with the given information
- C. The amortizing loan
- D. They would have identical exposure half way through their lives
正解：A
解説：
Explanation
A bullet bond is a bond that pays coupons covering interest during the life of the bond and theprincipal at maturity. An amortizing loan pays the interest as well as a part of the principal with every payment. Therefore, the exposure of the amortizing loan continually reduces, and approaches zero towards the end of its life. The bullet bond will always have a higher exposure at any time during its life when compared to an equivalent amortizing loan. Hence Choice 'd' is the correct answer.
質問 # 145
As opposed to traditional accounting based measures, risk adjusted performance measures use which of the following approaches to measure performance:
- A. adjust returns based on the level of risk undertaken to earn that return
- B. Any or all of the above
- C. adjust both return and the capital employed to account for the risk undertaken
- D. adjust capital employed to reflect the risk undertaken
正解：B
解説：
Explanation
Performance measurement at a very basic level involves comparing the return earned to the capital invested to earn that return. Risk adjusted performance measures (RAPMs) come in various varieties - and the key difference between RAPMs and traditional measures such as return on equity, return on assets etc is that RAPMs account for the risk undertaken. They may do so by either adjusting the return, or the capital, or both.
They are classified as RAROCs (risk adjusted return on capital), RORACs (return on risk adjusted capital) and RARORACs (risk adjusted return on risk adjusted capital).
質問 # 146
Which of the following is not one of the 'three pillars' specified in the Basel accord:
- A. Market discipline
- B. National regulation
- C. Minimum capital requirements
- D. Supervisory review
正解：B
解説：
Explanation
The three pillars are minimum capital requirements, supervisory review and market discipline. National regulation is not a pillar described under the accord. Choice 'c' is the correct answer.
質問 # 147
Under the contingent claims approach to credit risk, risk increases when:
I. Volatility of the firm's assets increases
II. Risk free rate increases
III. Maturity of the debt increases
- A. I and III
- B. II and III
- C. I and II
- D. I, II and III
正解：A
解説：
Explanation
Under the contingent claims approach, credit risk is evaluated as the value of the put on the firm's assets with a strike price equal to the face value of the debt and maturity equal to the maturity of the obligation. The Black Scholes model can then be used to value the put, and therefore an increase in volatility and the time to expiry (ie maturity) will increase the value of the debt. An increase in the risk free rate will actually reduce the value of the put, therefore statements I and III are correct and Choice 'b' is the correct answer.
質問 # 148
The principle underlying the contingent claims approach to measuring credit risk equates the cost of eliminating credit risk for a firm to be equal to:
- A. the value of a put on the firm's assets with a strike equal to the value of the debt
- B. the market valuationof the firm's equity less the value of its liabilities
- C. the probability of the firm's assets falling below the critical value for default
- D. the cost of a call on thefirm's assets with a strike equal to the value of the debt
正解：A
解説：
Explanation
Under the contingent claims approach, a firm will default on its debt when the value of its assets fall to less than the face value of the debt. Debt holders can protect themselves against such an event by buying a put on the assets of the firm, where the strike price is equal to the value of the debt. In other words, Risky Debt + Put on the firm's assets = Risk free debt. This is because if the value of the assets is greater thanthe value of the debt, they will be paid in full. If the value of the assets is lower than the value of the debt, they will exercise the put and be paid in full.
Therefore the value of the put on the firm's assets with a strike equal to the value ofthe debt represents the cost of eliminating credit risk. Choice 'b' is the correct answer.
Note that it is improbable that a put on the firm's assets is available in real life to debt holders. However, the same effect can be synthetically achieved by usingthe shares of the firm as a proxy for its assets, and shorting an appropriate number of shares. Such a synthetic put will require frequent readjustments.
質問 # 149
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
- A. I and IV
- B. II, III and IV
- C. II and III
- D. All of the above
正解：C
解説：
Explanation
In statistics, which is relevant to risk management, a distinction is often drawn between 'frequentists' and
'Bayesians'.Frequentists rely upon data to draw conclusions as to probabilities. Bayesians consider conditional probabilities, ie, take into account what things are already known, and inject sometimes subjective a-priori probabilities into the calculations. StatementI describes Bayesians, and not frequentists. In reality however, the difference is merely academic. Risk managers use whichever technique best applies to the given situation without making it about ideology.
The difference between 'Knightian uncertainty'and 'Risk' is similarly academic. Knightian uncertainty refers to risk that cannot be measured or calculated. 'Risk' on the other hand refers to things for which past data exists and calculations of exposure can be made. To give an example in the contextof the financial world, the risk from a pandemic creating systemic failures from a failure of payment and settlement systems and the like is
'Knightian uncertainty', but the market risk from equity price movements can be modeled (albeit with limitations) and is calculable. Statement II is therefore correct.
Once a risk is identified, it can be mitigated, accepted, avoided or eliminated, or transferred by way of insurance. Therefore statement III is correct.
Confidence accounting is a conceptual idea that suggests that accounting statements make reference to ranges as opposed to point estimates in financial statements. For example, instead of saying that the pension obligation is $xx million, the company should say the pension obligation is in a range of $xxm - $yy m with a certain confidence level. Statement IV is therefore inaccurate.
質問 # 150
The largest 10 lossesover a 250 day observation period are as follows. Calculate the expected shortfall at a
98% confidence level:
20m
19m
19m
17m
16m
13m
11m
10m
9m
9m
- A. 18.2
- B. 14.3
- C. 0
- D. 19.5
正解：A
解説：
Explanation
For a dataset with 250 observations, the top 2% of the losses will be the top 5 observations. Expected shortfall is the average of the losses beyond the VaR threshold. Therefore the correct answer is (20 + 19 + 19 + 17 +
16)/5 = 18.2m .
Note that Expected Shortfall is also called conditional VaR (cVaR), Expected Tail Lossand Tail average.
質問 # 151
If the odds of default are 1:5, what is the probability of default?
- A. 12.00%
- B. 20.00%
- C. 50.00%
- D. 16.67%
正解：D
解説：
Explanation
Odds are the ratio between the probability of the occurence of an event to the probability that the event does not occur.
If odds are H, then p = H/(1 + H) and H = p/(1-p). In this case the odds are 1:5, or 1/5, therefore the correct answer is Choice 'a', equal to (1/5)/(1 + 1/5) = 1/6 = 16.67%. All other choices are incorrect.
質問 # 152
Which of the following techniques is used to generate multivariate normal random numbers that are correlated?
- A. Simulation
- B. Cholesky decomposition of the correlation matrix
- C. Pseudo random number generator
- D. Markov process
正解：B
解説：
Explanation
A PRNG (pseudorandom number generators of the kind included in statistical packages and Excel) is used to generate random numbers that are not correlated with each other, ie they are random. A Markov process is a stochastic model that depends only upon its current state. Simulation underlies many financial calculations.
None of these directly relate to generating correlated multivariate normal random numbers. That job is done utilizing a Cholesky decomposition of the correlation matrix.
Specifically, a Cholesky decomposition involves the factorization of the correlation matrix into a lower triangular matrix (a square matrix all of whose entries above the diagonal are zero) and its transpose. This can then be combined with random numbers to generate a set of correlated normal random numbers. This technique is used for calculating Monte Carlo VaR.
質問 # 153
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
- A. I, II, III and IV
- B. II and III
- C. I and III
- D. I, II and III
正解：A
解説：
Explanation
All of the distributions referred to in the question can be used to model the loss severity distribution for op risk.Therefore Choice 'c' is the correct answer.
質問 # 154
The capital adequacy ratio applied to risk weighted assets for the calculation of capital requirements for credit risk per Basel II is:
- A. 150%
- B. 8%
- C. 100%
- D. 12.5%
正解：B
解説：
Explanation
The capital adequacy ratio, also called the minimum capital requirement for credit risk per Basel II is 8% of riskweighted assets. The other choices are incorrect.
質問 # 155
The definition of operational risk per Basel II includes which of the following:
I. Riskof loss resulting from inadequate or failed internal processes, people and systems or from external events II. Legal risk III. Strategic risk IV. Reputational risk
- A. I, II, III and IV
- B. I and II
- C. II and III
- D. I and III
正解：B
解説：
Explanation
Operational risk as defined in Basel II specifically excludes strategic and reputational risk. Therefore Choice
'd' is the correct answer.
Note that Basel II defines operational risk as follows:
Operational risk is defined as the risk of lossresulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputational risk.
質問 # 156
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)
- A. 10 years
- B. 2 years
- C. Right after inception
- D. 7 years
正解：D
解説：
Explanation
Right after inception' is incorrect as the interest rate swap (IRS) would be valued at close to zero right after inception and the credit risk would be minimum. Choice 'a' (ie 10 years, at maturity) is incorrect as at maturity there would be no more cash flows to exchange, and the replacement value of the contract would again be close to zero.
Therefore the worst time for the counterparty to default is somewhere between inception and maturity - in fact the range of possible outcomes for the contract increases with the passage of time, and we should find the worst time to default to be a later date. However, towards maturity, the value of the contract starts to go towards zero again, and the maximum value is reached around 7 years. 2 years is too early for the maximum to be reached for the10 year IRS, and therefore choice a is the correct answer.
質問 # 157
Company A issues bonds with a face value of $100m, sold at issuance at $98. Bank B holds $10m in face of these bonds acquired at a price of $70. What is Bank B's exposure to the debt issued by Company A?
- A. $10m
- B. $6.86m
- C. $7m
- D. $9.8m
正解：C
解説：
Explanation
Bank B's exposure is measured by the price it paid for the bonds, which in this case is $7m ($10m x 70/100).
Hence Choice 'c' represents the correct answer.
(Note that the question is asking for 'exposure' and not the legal claim in the event of default. The legal claim in the event of default would be the full notional of $10m. ) The initial issue price and issue size are irrelevant.
質問 # 158
Which of the following does not affect the credit risk facing a lender institution?
- A. Credit ratings of individual borrowers
- B. The applicability or otherwise of mark tomarket accounting to the institution
- C. The state of the economy
- D. The degree of geographical or sectoral concentration in the loan book
正解：B
解説：
Explanation
The state of the economy, credit quality of individual borrowers and concentration risk are all factors that affect the credit risk facing a lender. Mark to market accounting does not change the credit risk, or the underlying economic reality facing the institution. Therefore Choice 'b' is the correct answer.
質問 # 159
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
- A. I, III, IV and II
- B. IV, I, II and III
- C. III, IV, I and II
- D. I, IV, III and II
正解：D
解説：
Explanation
According to a paper by the BCBS, here is an excellent summary of what happened. Based on this, Choice 'c' is the correct answer.
"At the outset of the crisis, mortgage default shocks played a part in the deterioration of marketprices of collateralised debt obligations (CDOs). Simultaneously, these shocks revealed deficiencies in the models used to manage and price these products. The complexity and resulting lack of transparency led to uncertainty about the value of the underlying investment. Market participants then drastically scaled down their activity in the origination and distribution markets and liquidity disappeared. The standstill in the securitisation markets forced banks to warehouse loans that were intended to be soldin the secondary markets. Given a lack of transparency of the ultimate ownership of troubled investments, funding liquidity concerns were triggered within the banking sector as banks refused to provide sufficient funds to each other. This in turn led to the hoarding of liquidity, exacerbating further the funding pressures within the banking sector. The initial difficulties in subprime mortgages also fed through to a broader range of market instruments since the drying up of market and funding liquidity forced market participants to liquidate those positions which they could trade in order to scale back risk. An increase in risk aversion also led to a general flight to quality, an example of which was the high withdrawals by households from money market funds."
質問 # 160
Which of the following is a measure of the level of capital that an institution needs to hold in order to maintain a desired credit rating?
- A. Regulatory capital
- B. Book value
- C. Economic capital
- D. Shareholders' equity
正解：C
解説：
Explanation
Economic capital is a measure of the level of capital needed to maintain adesired credit rating. Regulatory capital is the amount of capital required to be held by regulation, and this may be quite different from economic capital. Book value is an accounting measure reflecting the assets minus liabilities as measured per accounting rules, this is often expressed per share. Shareholders' equity is a narrow term which is the amount of capital attributable to the shareholders and includes paid up capital and reserves but not long term debt or other non-equity funding.
Therefore Choice 'b' is the correct answer.
質問 # 161
Conditional default probabilities modeled under CreditPortfolio view use a:
- A. Power function
- B. Probit function
- C. Altman's z-score
- D. Logit function
正解：D
解説：
Explanation
Conditional default probabilitiesare modeled as a logit function under CreditPortfolio view. That ensures the resulting probabilities are 'well behaved', ie take a value between 0 and 1. The probability may be expressed as
= 1/ (1 + exp(I)), where I is a country specific index taking various macro economic factors into account.
質問 # 162
Which of the following statements is true:
- A. Both total expected losses and total unexpected losses are less than the sum ofexpected and unexpected losses on underlying exposures respectively
- B. Total expected losses are equal to the sum of expected losses in the individual underlying exposures while total unexpected losses are less than the sum of unexpected losses on underlying exposures
- C. Total expected losses are greater than the sum of individual underlying exposures while total unexpected losses are less than the sum of unexpected losses on underlying exposures
- D. Total expected losses are equal to the sum of individual underlying exposures while total unexpected losses are greater than the sum of unexpected losses on underlying exposures
正解：B
解説：
Explanation
Total expected losses which are average and anticipated are equal to the sum of expected losses in the underlying exposures. Total unexpected losses, which are the excess of worst case losses at a certain confidence level over the expected losses, benefit from the diversification effect and are lower than the sum of unexpected losses of the underlying exposures. Therefore Choice'c' is the correct answer. The other choices are incorrect.
質問 # 163
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