最新的 PRM Certification 8010 免費考試真題:

1. A bank prices retail credit loans based on median default rates. Over the long run, it can expect:

A) Correct pricing of risk in the retail credit portfolio
B) A reduction in the rate of defaults
C) Overestimation of risk and overpricing, leading to lossof market share
D) Underestimation and therefore underpricing of risk in it retail portfolio

2. Conditional default probabilities modeled under CreditPortfolio view use a:

A) Probit function
B) Altman's z-score
C) Power function
D) Logit function

3. The cumulative probability of default for a security for 4 years is 11.47%. The marginal probability of default for the security for year 5 is 5% during year 5. What is the cumulative probability of default for the security for 5 years?

A) 5.00%
B) 16.47%
C) 15.90%
D) None of the above

4. Concentration risk in a creditportfolio arises due to:

A) Independence of individual default losses for the assets in the portfolio
B) A high degree of correlation between the default probabilities of the credit securities in the portfolio
C) A low degree of correlation between the default probabilities of the credit securities in the portfolio
D) Issuers of the securities in the portfolio being located in the same country

5. Which of the following statements are true:
I. The set of UoMs used for frequency and severity modeling should be identical II. UoMs can be grouped together into larger combined UoMs using judgment based on the knowledge of the business III. UoMs can be grouped together into combined UoMs using statistical techniques IV. One may use separate sets of UoMs for frequency and severity modeling

A) I, II and III
B) All of the above
C) IV only
D) II, III and IV

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