Free PRMIA 8010 Exam Questions

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Total 242 Questions | Updated On: Jan 09, 2025

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Question 1

Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution for operational risk?

A : firm wide operational risk distribution is generated by adding together the frequency and severity distributions

B : firm wide operational risk distribution is generated using Monte Carlo simulations

C : firm wide operational risk distribution is set to be equal to the product of the frequency and severity distributions

D : frequency distribution alone forms the basis for the loss distribution for operational risk

Answer: B

Question 2

The key difference between 'top down models' and 'bottom up models' foroperational risk assessment is:

A : p down approaches to operational risk are based upon an analysis of key risk drivers, while bottom up approaches consider causality in risk scenarios.

B : ttom up approaches to operational risk are based upon an analysis of key risk drivers, while top down approaches consider causality in risk scenarios.

C : ttom up approaches to operational risk calculate the implied operational risk using available data such as income volatility, capital etc; while top down approaches use causal factors, risk drivers and other factors to get an aggregated estimate of risk

D : p down approaches to operational risk calculate the implied operational risk using available data such as income volatility, capital etc; while bottom up approaches use causal factors, risk drivers and other factors to get an aggregated estimate of risk.

Answer: D

Question 3

A risk management function is best organized as:

A : tegrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of theorganization.

B : port independently of the risk taking functions

C : porting directly to the traders, as to be closest to the point at which risks are being taken

D : part of the trading desks and other risk taking teams

Answer: B

Question 4

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?

A : univariate Gaussian model fails to fit to the empirical distributions of risk factors, notably their fat tails and skewness.

B : termining the covariance matrix becomes an extremely difficult task as the number of risk factors increases.

C : cannot capture linear relationships between risk factors.

D : ingle covariance matrix is insufficient to describe the fine codependence structure among risk factors as non-linear dependencies or tail correlations are not captured.

Answer: C

Question 5

Which of the following decisions need to be made as part of laying down a system for calculating VaR:

I. The confidence level and horizon

II. Whether portfolio valuation is based upon a delta-gamma approximation or a full revaluation

III. Whether the VaR is to be disclosed in the quarterly financial statements

IV. Whether a 10 day VaR will be calculated based on 10-day return periods, or for 1-day and scaled to 10

days

A : and III

B : and IV

C : II and IV

D : l of the above

Answer: C

Page: 1 / 49

Total 242 Questions | Updated On: Jan 09, 2025

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