8011試験正確な問題集、学習ノートと理論 [2025年09月]
100%高得点合格保証8011無制限330解答
質問 # 195
Which of the following are elements of 'group risk':
I. Market risk
II. Intra-group exposures
III. Reputational contagion
IV. Complex group structures
- A. I and IV
- B. II, III and IV
- C. II and III
- D. I and II
正解：B
解説：
The term 'group risk' has been defined in the FSA document 08/24 on stress testing as the risk that a firm may be adversely affected by an occurrence (financial or non-financial) in another group entity or an occurrence that affects ther group as a whole. These risks may occur through:
- reputational contagion,
- financial contagion,
- leveraging,
- double or multiple gearing,
- concentrations and large exposures (particularly intra-group).
Thus, the insurance sector may be considered a group, and a firm may suffer just because another group firm has had losses or reputational issues.
The FSA statement goes on to identify some elements of group risk as follows:
- intra-group exposures (credit or operational exposures through outsourcing or service arrangements, as well as more standard business exposures);
- concentration risks (from credit, market or insurance risks which could put a strain on capital resources across entities simultaneously);
- contagion (reputational damage, operational or financial pressures); and
- complex group structures (with dependencies, complex split of responsibilities and accountabilities).
Therefore Choice 'a' is the correct answer and the rest of the choices are incorrect.
質問 # 196
Which of the following is NOT true in respect of bilateral close out netting:
- A. Transactions are separated by transaction type and immediately settled separately at each's replacement value
- B. All transactions are netted against each other
- C. The net amount due is immediately receivable or payable
- D. All transactions are immediately closed out upon the occurrence of a credit event for either of the counterparties
正解：A
解説：
Choice 'b', Choice 'c' and Choice 'a' correctly describe a bilateral close out netting as recommended by the ISDA. However Choice 'd' is not correct as it suggests individual settlement of transactions without netting which is the whole point of bilateral close out netting.
質問 # 197
When considering a request for a loan from a retail customer, which of the following factors is relevant for a bank to consider:
- A. The contribution this new loan would bring to total portfolio risk
- B. The other retail loans in its portfolio
- C. All of the above
- D. The credit worthiness of the retail customer
正解：C
解説：
The credit worthiness of the retail customer is certainly a factor for the bank to consider as it will need to price the loan to cover the expectation of default. At the same time, it will need to look at other loans in its portfolio as to avoid unacceptable concentration risk. A corollary of the same theme is that the bank will need to take a portfolio view of the loan request and consider its contribution to total portfolio risk. Therefore all the choices are appropriate considerations for the bank and Choice 'd' is the correct answer.
質問 # 198
Which of the following statements are true:
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I by increasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks
- A. II and III
- B. I only
- C. I and II
- D. III only
正解：A
解説：
The three pillars under Basel II are minimum capital requirements, supervisory review process and market discipline. Therefore statement I is false. The other two statements are accurate. Therefore Choice 'd' is the correct answer.
質問 # 199
Which of the following statements is true?
I. It is sufficient to ensure that a parent entity has sufficient excess liquidity to cover a liquidity shortfall for a subsidiary.
II. If a parent entity has a shortfall of liquidity, it can always rely upon any excess liquidity that its foreign subsidiaries might have.
III. Wholesale funding sources for a bank refer to stable sources of funding provided by the central bank.
IV. Funding diversification refers to diversification of both funding sources and funding tenors.
- A. I and IV
- B. I and III
- C. III and IV
- D. IV
正解：D
解説：
It is not generally sufficient to ensure the adequacy of liquidity across a group - ie it is not appropriate to just add up the sources and needs for liquidity across multiple entities in a group. This is because there can be restrictions on transferring liquidity between entities, particularly when the entities are located across borders.
In cases where transfers of liquidity are permitted, there may be settlement delays in transferring funds from one entity to another. Therefore both statements I and II are incorrect.
Wholesale funding sources refers to the temporary interbank funding sources that need to be rolled over on very short intervals, often as short as overnight. These are not stable sources for long term funding. Statement III is therefore false.
Statement IV is correct as funding diversification refers to diversification of both funding sources and the duration for which the amounts are borrowed, ie tenor diversity.
Statement IV is the only correct statement and therefore Choice 'a' is the correct answer.
質問 # 200
A risk analyst peforming PCA wishes to explain 80% 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?
- A. First
- B. Insufficient information to answer the question
- C. First, Second and Third
- D. First and Second
正解：A
解説：
The total variance of the system is 100^2 + 40^2 + 30^2 = 12500 (as variance = volatility squared). The first factor alone has a variance of 10,000, or 80%. Therefore only the first factor will be included in the final analysis, and the rest will be ignored.
Interestingly, this example highlights one of the limitations of PCA. Obviously, the second and third factors are material when considering volatility, though the effect of squaring them to get the variance makes them appear less important than they are.
質問 # 201
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
- A. I and IV
- B. I, II and III
- C. I, II and IV
- D. II and III
正解：B
解説：
EVT, when used in the context of operational risk measurement, focuses on tail events and attempts to build a distribution of losses beyond what is covered by VaR. Statements I, II and II are correct. Statement IV describes conditional VaR (CVAR) and not EVT.
Choice 'c' is the correct answer.
質問 # 202
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?
- A. $25m
- B. $40m
- C. $15m
- D. $60m
正解：A
解説：
Credit VaR is the difference between the expected value of the portfolio and the value of the portfolio at the given confidence level. Therefore the credit VaR is $85m - $ 60m = $25m. Choice 'b' is the correct answer.
Note that economic capital and credit VaR are identical at a risk horizon of one year. Therefore if the question asks for economic capital, the answer would be the same.
[Again, an alternative way to look at this is to consider the explanation given in III.B.6.2.2: Credit Var = Q(L)
- EL where Q(L) is the total loss at a given confidence interval, and EL is the expected loss. In this case Q(L)
- $100-$60 = $40, and EL = $100-$85=$15. Therefore Credit VaR = $40-$15=$25.]
質問 # 203
For an investor with a long position in market index futures, which of the following is a primary risk:
- A. Risk that expected dividends will differ from realized dividend yields
- B. Basis risk between futures and spot prices
- C. Movement in interest rates underlying the futures prices
- D. Increase or decrease in the level of the underlying index
正解：D
解説：
This question emphasizes the difference between primary and secondary risks. Primary risks are the risks consciously undertaken, ie the risks whose premium the investor is trying to earn. Secondary risks are risks that accompany the primary risks that the investor will either hedge, or will ignore if they are small. It is important to watch out for secondary risks because they could become significant and offset the returns being sought even if the investor's market view is proved correct.
An investor in market index futures is betting that the index will rise. Index futures prices are largely driven by the spot value of the index, but are also affected by costs of carry. In particular, futures prices will be driven by interest rates, expected dividends, and any other factors that may cause the basis between spot and futures prices to diverge. These risks are secondary risks.
In this question, Choice 'd' represents the primary risk, and Choice 'a', Choice 'b' and Choice 'c' are all secondary risks. Therefore Choice 'd' is the correct answer.
質問 # 204
Which of the following is the most accurate description of EPE (Expected Positive Exposure):
- A. Weighted average of the future positive expected exposure across a time horizon.
- B. The average of the distribution of positive exposures at a specified future date
- C. The maximum average credit exposure over a period of time
- D. The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date
正解：A
解説：
When a derivative transaction is entered into, its value generally is close to zero. Over time, as the value of the underlying changes, the transaction acquires a positive or negative value. It is not possible to predict the future value of the transaction in advance, however distributional assumptions can be made and potential exposure can be measured in multiple ways. Of all thepossible future exposures, it is generally positive exposures that are relevant to credit risk because that is the only situation where the bank may lose money from a default of the counterparty.
The maximum (generally a quantile eg, the 97.5th quantile) exposure possible over the time of the transaction is the 'Potential Future Exposure', or PFE.
The average of the distribution of positive exposures at a specified date before the longest trade in the portfolio is called 'Expected Exposure', or EE.
The expected positive exposure calculated as the weighted average of the future positive Expected Exposure across a time horize is called the EPE, or the 'Expected Positive Exposure'.
The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date - is the 'fair value', as defined under FAS 157.
Therefore the corect answer is that EPE is the weighted average of the future positive expected exposure across a time horizon.
質問 # 205
The capital adequacy ratio applied to risk weighted assets for the calculation of capital requirements for credit risk per Basel II is:
- A. 100%
- B. 150%
- C. 12.5%
- D. 8%
正解：D
解説：
The capital adequacy ratio, also called the minimum capital requirement for credit risk per Basel II is 8% of risk weighted assets. The other choices are incorrect.
質問 # 206
Loss from a lawsuit from an employee due to physical harm caused while at work is categorized per Basel II as:
- A. Damage to physical assets
- B. Unsafe working environment
- C. Employment practices and workplace safety
- D. Execution delivery and process management
正解：C
解説：
Choice 'a' is the correct answer. Refer to the detailed loss event type classification under Basel II (see Annex 9 of the accord). You should know the exact names of all loss event types, and examples of each.
質問 # 207
Which of the following statements are true:
I. Credit risk and counterparty risk are synonymous
II. Counterparty risk is the contingent risk from a counterparty's default in derivative transactions III. Counterparty risk is the risk of a loan default or the risk from moneys lent directly IV. The exposure at default is difficult to estimate for credit risk as it depends upon market movements
- A. III and IV
- B. II
- C. II and III
- D. I and II
正解：B
解説：
Credit risk is the risk from a borrower defaulting on moneys lent. Counterparty risk, on the other hand, is the risk that a counterparty to a derivative transaction will be unable to pay at the time the transaction is in-the- money.
Credit risk therefore relates more to the banking book, counterparty risk relates more to the trading book.
Credit risk and counterparty risk differ in that for counterparty risk, the amount at risk fluctuates for counterparty risk depending upon the value of the underlying derivative. Counterparty risk generally starts at zero, for most swaps and other derivatives are near zero value at inception. Over time, as the prices of the underlying instruments move, one party ends up owing money to the other. A deterioration in the financial situation of the party owing moneys may lead to a loss to the other party, resulting in counterparty risk.
Counterparty risk can also arise from stock lending operations and repo trades.
Credit risk on the other hand is the traditional risk of default by a borrower, or a bank's customer who has taken a loan or has an overdraft or other credit facility.
Statement I is therefore incorrect as credit risk and counterparty risks are different.
Statement II is correct as counterparty risk is 'contingent' in the sense it arises only if the transaction with the counterparty ends up being in-the-money, and the counterparty defaults.
Statement III is incorrect. The statement describes credit risk.
Statement IV is incorrect, as the exposure is known for moneys lent. Derivative exposures for the future are difficult to estimate, they can even turn from moneys owed to moneys due as the value of the underlying changes.
質問 # 208
In setting confidence levels for VaR estimates for internal limit setting, it is generally desirable:
- A. that actual losses never exceed the VaR estimates
- B. that actual losses exceed the VaR estimates on only the rarest of occasions
- C. that actual losses very frequently exceed the VaR estimates
- D. that actual losses exceed the VaR estimates with some reasonably observable frequency that is neither too high nor too low
正解：D
解説：
If the confidence levels for a VaR estimate are set too high, there may never be any exceedences, ie actual losses will never exceed VaR estimates. For limit setting, we want actual losses to exceed the VaR estimates enough number of times as during the year so that the limits are considered seriously. If the VaR estimate is exceeded too many times, or never, then it is unlikely to be considered seriously. Therefore Choice 'd' is the correct answer.
The other answers are incorrect as they either require the VaR to be too high (ie zero or rare excess loss situations) or too low (ie there will be too many cases of excess loss situations to be taken seriously).
質問 # 209
A corporate bond has a cumulative probability of default equal to 20% in the first year, and 45% in the second year. What is the monthly marginal probability of default for the bond in the second year, conditional on there being no default in the first year?
- A. 2.60%
- B. 3.07%
- C. 31.25%
- D. 15.00%
正解：B
解説：
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 marginal probability of default for year 2 by solving the equation [1 - (1 - 20%)(1 - P2) = 45%] for P2. Solving, we get the marginal probability of default during year 2 as 31.25%.
Since this is the annual marginal probability of default, we will need to convert it to a monthly number, which we can do by solving the following equation where M1 is the monthly marginal probability of default.
1 - 31.25% = (1 - M1)^12, implying M1 = 3.07%
質問 # 210
In the case of historical volatility weighted VaR, a higher current volatility when compared to historical volatility:
- A. will increase the VaR estimate
- B. will decrease the VaR estimate
- C. will not affect the VaR estimate
- D. will increase the confidence interval
正解：A
解説：
When calculating volatility weighted VaR, returns are adjusted by a factor equal to the current volatility divided by the historical volatility, ie the volatility that existed during the time period the returns were earned.
If the current volatility is greater than the historical volatility (also called contemporary volatility), then it has the effect of increasing the magnitude of any past returns (whether positive or negative). This in turn increases the VaR.
Consider an example: if the current volatility is 2%, and a return of -5% was earned at a time when the volatility was 0.8%, then the volatility weighted return would be 12.5% (=-5% x 2%/0.8%). Clearly, this has the effect of increasing the VaR.
Choice 'd' is therefore the correct answer.
質問 # 211
Which of the following statements is true in relation to collateral management?
I. A collateral management system need not consider the failure by counterparties to returncollateral when due II. The extent to which counterparties may have rehypothecated collateral is not a consideration for a collateral management system III. Cash is an acceptable substitute for any type of collateral required to be posted IV. Haircuts do not apply to treasury issued instruments posted as collateral
- A. I, II, III and IV
- B. II and III
- C. I, II and III
- D. None of the statements is true
正解：D
解説：
Strong management of collateral, both receivable and payable, is emerging as an area requiring significant investment by financial institutions and asset managers in IT infrastructures and business processes. A bank needs to make collateral calls daily, based upon the P&L of the previous day, and likewise receives collateral calls from its counterparties. Just like cash, a bank needs to make sure that it does not run out of collateral to post when a call is received. Interestingly, based upon the agreements between banks and their mutual understanding, only certain types of instruments often qualify as valid collateral - and in such cases even cash is not acceptable if the right type of bond or other agreed security is not available to post. The operational challenges of managing collateral increase manifold due to 'rehypothecation', ie when collateral received from one counterparty gets posted out as collateral where it is due. In such cases, the bank should have the mechanisms to receive the right assets back in a timely way in case rehypothecated assets are to be returned.
The systems should be able to deal with delays, failures without impacting the ability of the bank to post collateral as needed. All of this requires major investments in IT and processes.
Statement I is not true as a bank is bound to post collateral to third parties when needed regardless of the failure of its counterparties to post collateral to it when owed. In the markets, failures by counterparties can and do happen, and a collateral management system needs to account for and keep a buffer for the fact that some collateral when due will not be received.
Statement II is not true as rehypothecation by counterparties of collateral posted increases the chances of the collateral not being received in time. The system should consider the need for liquidity to generate assets that can be posted as collateral when others have failed to return the collateral in a timely way.
Statement III is not correct as cash may not be acceptable to counterparties as collateral. From a practical point of view, they may not have the infrastructure to receive and account for cash as collateral. A Swiss bank, for example, may have an 'account' to receive US t-bills as collateral but may not even have a US dollar account to receive cash. Even if it did, the volumes of transactions going back and forth may make tracking and reconciliations impossible. Thus a bank should always make sure that it has the right type of collateral available to post.
Statement IV is incorrect as well, as treasury issued instruments are also subject to haircuts. Their value also fluctuates in response to changes in yields, and therefore they are subject to haircuts as well.
Thus none of the statements are correct and Choice 'd' is the correct answer.
質問 # 212
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PRMIA 8011 CCRM 認定試験は、信用リスクとカウンターパーティリスク管理における候補者の知識とスキルを測定する厳しいテストです。この試験は、信用リスクの分析能力、量的モデルの理解、カウンターパーティリスクの評価能力を試験することを意図しています。また、リスク要因の識別とそれらを軽減する戦略の設計能力を評価します。
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