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PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
1. Which of the following is not one of the 'three pillars' specified in the Basel accord:
A) Supervisory review
B) Minimum capital requirements
C) National regulation
D) Market discipline
2. For identical mean and variance, which of the following distribution assumptions will provide a higher estimate of VaR at a high level of confidence?
A) A distribution with kurtosis = 2
B) A distribution with kurtosis = 8
C) A distribution with kurtosis = 3
D) A distribution with kurtosis = 0
3. Which of the following statements are true:
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I by increasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks
A) III only
B) II and III
C) I and II
D) I only
4. Which of the following statements are true:
I. Heavy tailed parametric distributions are a good choice for severity modeling in operational risk.
II. Heavy tailed body-tail distributions are a good choice for severity modeling in operational risk.
III. Log-likelihood is a means to estimate parameters for a distribution.
IV. Body-tail distributions allow modeling small losses differently from large ones.
A) I and IV
B) II and III
C) II, III and IV
D) All of the above
5. If the 99% VaR of a portfolio is $82,000, what is the value of a single standard deviation move in the portfolio?
A) 82000
B) 50000
C) 134480
D) 35248
Solutions:
Question # 1 Answer: C | Question # 2 Answer: B | Question # 3 Answer: B | Question # 4 Answer: D | Question # 5 Answer: D |