最新的PRMIA Operational Risk Manager (ORM) - 8010免費考試真題
問題1
If the marginal probabilities of default for a corporate bond for years 1, 2 and 3 are 2%, 3% and 4% respectively, what is the cumulative probability of default at the end of year 3?
正確答案: C
說明：（僅 VCESoft 成員可見）
問題2
A risk management function is best organized as:
正確答案: C
說明：（僅 VCESoft 成員可見）
問題3
According to Basel II's definition of operational loss event types, losses due to acts by third parties intended to defraud, misappropriate property or circumvent the law are classified as:
正確答案: C
說明：（僅 VCESoft 成員可見）
問題4
Which of the following statements is true:
正確答案: A
說明：（僅 VCESoft 成員可見）
問題5
Aderivative contract has a negative current replacement value. Which of the following statements is true about its loan equivalent value for credit risk calculations over a 2-year horizon?
正確答案: C
說明：（僅 VCESoft 成員可見）
問題6
For a given notional amount, which of the following carries the greatest counterparty exposure (assuming the same counterparty credit rating for each):
正確答案: A
說明：（僅 VCESoft 成員可見）
問題7
Which of the following formulae correctly describes Component VaR. (p refers to the portfolio, and i is the i-th constituent of the portfolio. MVaR means Marginal VaR, and other symbols have their usual meanings.)
正確答案: C
說明：（僅 VCESoft 成員可見）
問題8
According to the Basel framework, reserves resulting from the upward revaluation of assets are considered a part of:
正確答案: C
說明：（僅 VCESoft 成員可見）
問題9
Which of the following statements is true:
I. Confidence levels for economic capital calculations are driven by desired credit ratings II. Loss distributions for operational risk are affected more by theseverity distribution than the frequency distribution III. The Advanced Measurement Approach (AMA) referred to in the Basel II standard is a type of a Loss Distribution Approach (LDA) IV. The loss distribution for operational risk under the LDA (Loss Distribution Approach) is estimated by separately estimating the frequency and severity distributions.
I. Confidence levels for economic capital calculations are driven by desired credit ratings II. Loss distributions for operational risk are affected more by theseverity distribution than the frequency distribution III. The Advanced Measurement Approach (AMA) referred to in the Basel II standard is a type of a Loss Distribution Approach (LDA) IV. The loss distribution for operational risk under the LDA (Loss Distribution Approach) is estimated by separately estimating the frequency and severity distributions.
正確答案: A
說明：（僅 VCESoft 成員可見）
問題10
Which of the following does not affect the credit risk facing a lender institution?
正確答案: B
說明：（僅 VCESoft 成員可見）
問題11
Which of the following distributions is generally not used for frequency modeling for operational risk
正確答案: A
說明：（僅 VCESoft 成員可見）
問題12
The difference between true severity and the best approximation of the true severity is called:
正確答案: A
說明：（僅 VCESoft 成員可見）
問題13
CreditRisk+, the actuarial model for calculating portfolio credit risk, is based upon:
正確答案: D
