PRMIA 8008 : PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition

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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 best describes the concept of marginal VaR of an asset in a portfolio:

A) Marginal VaR describes the change in total VaR resulting from a $1 change in the value of the asset in question.
B) Marginal VaR is the change in the VaR estimate for the portfolio as a result of including the asset in the portfolio.
C) Marginal VaR is the contribution of the asset to portfolio VaR in a way that the sum of such calculations for all the assets in the portfolio adds up to the portfolio VaR.
D) Marginal VaR is the value of the expected losses on occasions where the VaR estimate is exceeded.

2. The daily VaR of an investor's commodity position is $10m. The annual VaR, assuming daily returns are independent, is ~$158m (using the square root of time rule). Which of the following statements are correct?
I. If daily returns are not independent and show mean-reversion, the actual annual VaR will be higher than
$158m.
II. If daily returns are not independent and show mean-reversion, the actual annual VaR will be lower than
$158m.
III. If daily returns are not independent and exhibit trending (autocorrelation), the actual annual VaR will be higher than $158m.
III. If daily returns are not independent and exhibit trending (autocorrelation), the actual annual VaR will be lower than $158m.

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

3. When considering a request for a loan from a retail customer, which of the following factors is relevant for a bank to consider:

A) All of the above
B) The contribution this new loan would bring to total portfolio risk
C) The other retail loans in its portfolio
D) The credit worthiness of the retail customer

4. If the cumulative default probabilities of default for years 1 and 2 for a portfolio of credit risky assets is 5% and 15% respectively, what is the marginal probability of default in year 2 alone?

A) 15.79%
B) 11.76%
C) 10.00%
D) 10.53%

5. The probability of default of a security over a 1 year period is 3%. What is the probability that it would not have defaulted at the end of four years from now?

A) 88.53%
B) 12.00%
C) 88.00%
D) 11.47%

Solutions: