最新的PRMIA Credit and Counterparty Manager (CCRM) Certificate - 8011免費考試真題
問題1
The Altman credit risk score considers:
正確答案: A
說明：（僅 VCESoft 成員可見）
問題2
If two bonds with identical credit ratings, coupon and maturity but from different issuers trade at different spreads to treasury rates, which of the following is a possible explanation:
I. The bonds differ in liquidity
II. Events have happened that have changed investor perceptions but these are not yet reflected in the ratings III. The bonds carry different market risk IV. The bonds differ in their convexity
I. The bonds differ in liquidity
II. Events have happened that have changed investor perceptions but these are not yet reflected in the ratings III. The bonds carry different market risk IV. The bonds differ in their convexity
正確答案: B
說明：（僅 VCESoft 成員可見）
問題3
If the 1-day VaR of a portfolio is $25m, what is the 10-day VaR for the portfolio?
正確答案: B
說明：（僅 VCESoft 成員可見）
問題4
For a US based investor, what is the 10-day value-at risk at the 95% confidence level of a long spot position of EUR 15m, where the volatility of the underlying exchange rate is 16% annually. The current spot rate for EUR is 1.5. (Assume 250 trading days in a year).
正確答案: B
說明：（僅 VCESoft 成員可見）
問題5
Which of the following credit risk models includes a consideration of macro economic variables such as unemployment, balance of payments etc to assess credit risk?
正確答案: D
說明：（僅 VCESoft 成員可見）
問題6
Which of the following is not a limitation of the univariate Gaussian model to capture the codependence structure between risk factros used for VaR calculations?
正確答案: A
說明：（僅 VCESoft 成員可見）
問題7
Which of the following decisions need to be made as part of laying down a system for calculating VaR:
I. How returns are calculated, eg absoluted returns, log returns or relative/percentage returns II. Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically III. Whether binary/digital options are included in the portfolio positions IV. How volatility is estimated
I. How returns are calculated, eg absoluted returns, log returns or relative/percentage returns II. Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically III. Whether binary/digital options are included in the portfolio positions IV. How volatility is estimated
正確答案: A
說明：（僅 VCESoft 成員可見）
問題8
A stock's volatility under EWMA is estimated at 3.5% on a day its price is $10. The next day, the price moves to $11. What is the EWMA estimate of the volatility the next day? Assume the persistence parameter # = 0.93.
正確答案: B
說明：（僅 VCESoft 成員可見）
問題9
An assumption of normality when returns data have fat tails leads to:
I. underestimation of VaR at high confidence levels
II. overestimation of VaR at low confidence levels
III. overestimation of VaR at high confidence levels
IV. underestimation of VaR at low confidence levels
I. underestimation of VaR at high confidence levels
II. overestimation of VaR at low confidence levels
III. overestimation of VaR at high confidence levels
IV. underestimation of VaR at low confidence levels
正確答案: B
說明：（僅 VCESoft 成員可見）
問題10
The CDS rate on a defaultable bond is approximated by which of the following expressions:
正確答案: C
說明：（僅 VCESoft 成員可見）
問題11
Which of the following cannot be used as an internal credit rating model to assess an individual borrower:
正確答案: C
說明：（僅 VCESoft 成員可見）
問題12
Which of the following risks were not covered in detail in most stress tests prior to the current crisis:
I. The behavior of complex structured products under stressed liquidity conditions II. Pipeline or securitization risk III. Basis risk in relation to hedging strategies IV. Counterparty credit risk
V. Contingent risks
VI. Funding liquidity risk
I. The behavior of complex structured products under stressed liquidity conditions II. Pipeline or securitization risk III. Basis risk in relation to hedging strategies IV. Counterparty credit risk
V. Contingent risks
VI. Funding liquidity risk
正確答案: B
說明：（僅 VCESoft 成員可見）
問題13
Which of the following are elements of 'group risk':
I. Market risk
II. Intra-group exposures
III. Reputational contagion
IV. Complex group structures
I. Market risk
II. Intra-group exposures
III. Reputational contagion
IV. Complex group structures
正確答案: D
說明：（僅 VCESoft 成員可見）
問題14
The EWMA and GARCH approaches to volatility clustering can be applied to VaR calculations using:
正確答案: A
說明：（僅 VCESoft 成員可見）
