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8011시험은 영어로 출제되는 만큼 시험난이도가 높다고 볼수 있습니다.하지만 8011덤프만 있다면 아무리 어려운 시험도 쉬워집니다. 오르지 못할 산도 정복할수 있는게 8011덤프의 우점입니다.8011덤프로 시험을 패스하여 자격증을 취득하시면 굳게 닫혔던 취업문도 자신있게 두드릴수 있습니다. 8011덤프를 구매하시고 공부하시면 밝은 미래를 예약한것과 같습니다.
PRMIA (Professional Risk Managers 'International Association)는 전 세계적으로 인식 된 위험 관리 인증을 제공하는 비영리 단체입니다. PRMIA 8011 (CCRM (Credit and Country Manager) 인증서 인증 시험은 신용 및 상대방 위험 관리 분야의 전문가의 지식과 기술을 검증하도록 설계되었습니다. 이 시험에는 신용 분석, 신용 위험 완화, 상대방 위험 관리 및 규제 준수를 포함한 광범위한 주제가 다룹니다.
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PRMIA 8011: 신용 및 상대방 위험 관리자(CCRM) 자격증 시험은 신용 및 상대방 위험 관리 분야의 전문가들의 지식과 기술을 검증하기 위해 설계되었습니다. 이 시험은 신용 위험 관리에 관련된 개념 및 기술 분석, 그리고 그 지식을 실제 상황에 적용하는 능력을 평가합니다. 이 시험은 신용 분석 기술, 신용 위험 모델, 위험 측정 및 측정 기법, 자산 품질 평가, 포트폴리오 최적화 및 상대방 위험 관리 등의 주제를 다룹니다.
질문 # 252
Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution foroperational risk?
정답：D
설명：
Once the frequency distribution has been determined (for example, using the binomial, Poisson or the negative binomial distributions) and the severity distribution has also been determined (for example, using the lognormal, gamma or other functions), the loss distribution can be produced by a Monte Carlo simulation using successive drawings from each of these two distributions. It is assumed that the severity and frequency are independent of each other. The resulting distribution gives a distribution showing the losses for operational risk, from which there Op Risk VaR can be determined using the appropriate percentile.Therefore Choice 'b' is the correct answer.
질문 # 253
When the volatility of the yield for a bond increases, which of the following statements is true:
정답：B
설명：
The VaR of a fixed income instrument is given by Duration x Volatility of the interest rate x z-factor corresponding to the confidence level. Therefore as the volatility of the yield goes up, the value at risk for the instrument goes up.
At the same time, the value of the bond is given by the present value of its future cash flows using the current yield curve. This value is unaffected by the volatility of the underlying interest rates. Therefore a change in volatility of interest rates does not affect the value of the bond.
Therefore Choice 'd' represents the correct answer.
질문 # 254
For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:
정답：A
설명：
The greatest model risk when calculating operational risk capital comes from incorrect assumptions about correlations between different operational risks for which standalone risk calculations have been made.
Generally, the correlation can be expected to be positive, and would therefore vary between 0 and 1. These two values determine the 'bounds' between which the total operational risk capital would lie, and these bounds are generally quite far apart. Therefore the total value of the operational risk capital is very sensitive to the value chosen for the correlation, and this is the source of the biggest model risk under the AMA.
질문 # 255
A Monte Carlo simulation based VaR can be effectively used in which of the following cases:
정답：D
설명：
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.
질문 # 256
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?
정답：A
설명：
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.
질문 # 257
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