最新的 PRMIA Certification 8011 免費考試真題:

1. A risk analyst analyzing the positions for a proprietary trading desk determines that the combined annual variance of the desk's positions is 0.16. The value of the portfolio is $240m. What is the 10-day stand alone VaR in dollars for the desk at a confidence level of 95%? Assume 250 trading days in a year.

A) 12595200
B) 31488000
C) 157440000
D) 6297600

2. If the systematic VaR for an equity portfolio is $100 and the specific VaR is $80, then which of the following is true in relation to the total VaR:

A) Total VaR is greater than $180
B) Total VaR is $20
C) Total VaR is less than $180
D) Total VaR is $180

3. Which of the following are true:
I. Delta hedges need to be rebalanced frequently as deltas fluctuate with fluctuating prices.
II. Portfolio managers are right to focus on primary risks over secondary risks.
III. Increasing the hedge rebalance frequency reduces residual risks but increases transaction costs.
IV. Vega risk can be hedged using options.

A) I, II and III
B) I and II
C) II, III and IV
D) I, II, III and IV

4. Which of the following are considered counterparty based credit enhancements?
I. Collateral
II. Credit default swaps
III. Close out netting arrangements
IV. Guarantees

A) I, II and IV
B) I and III
C) I and IV
D) II and IV

5. Which of the following steps are required for computing the aggregate distribution for a UoM for operational risk once loss frequency and severity curves have been estimated:
I. Simulate number of losses based on the frequency distribution
II. Simulate the dollar value of the losses from the severity distribution III. Simulate random number from the copula used to model dependence between the UoMs IV. Compute dependent losses from aggregate distribution curves

A) I and II
B) All of the above
C) None of the above
D) III and IV

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