[Q171-Q194] 8011練習PRMIA高合格率回答あなたを試験は高確率で合格させます！[2025]

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8011練習PRMIA高合格率回答あなたを試験は高確率で合格させます！[2025]

最高の方法からパスPRMIA Certificationの8011試験合格させます

PRMIA 8011試験では、クレジット分析、クレジットスコアリング、クレジットリスク緩和、クレジットデリバティブ、カウンターパーティクレジットリスクなど、クレジットおよびカウンターパーティリスク管理に関連する幅広いトピックをカバーしています。この試験は、銀行、財務、保険、および信用およびカウンターパーティのリスクが重大な問題である他の業界で働く専門家向けに設計されています。この認定は雇用主によって広く認識されており、リスク管理のキャリアの進歩を求めている個人に競争上の優位性を提供します。

PRMIAのCCRM認定は、金融業界で高く評価され、世界中の主要な金融機関によって認められています。この認定は、クレジットおよびカウンターパーティリスク管理における優れた取り組みを示し、専門家に就職市場における競争力を与えます。

質問 171
Which of the following assumptions underlie the ‘square root of time’ rule used for computing VaR estimates over different time horizons?
I. the portfolio is static from day to day
II. asset returns are independent and identically distributed (i.i.d.)
III. volatility is constant over time
IV. no serial correlation in the forward projection of volatility
V. negative serial correlations exist in the time series of returns
VI. returns data display volatility clustering

III, IV, V and VI

I, II, V and VI

I, II, III and IV

I and II

質問 172
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.

12595200

157440000

6297600

31488000

質問 173
As part of designing a reverse stress test, at what point should a bank’s business plan be considered unviable (ie the point where it can be considered to have failed)?

Where EBITDA for the year is forecast to be negative

Where large known losses have been incurred on the bank’s positions

When the regulatory capital of the bank has been exhausted

When the realization of risks leads market participants to lose confidence in the bank as a counterparty or a business worthy of funding

質問 174
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, II and IV

II and IV

I and III

All of the above

質問 175
Under the standardized approach to calculating operational risk capital, how many business lines are a bank’s activities divided into per Basel II?

質問 176
If the annual default hazard rate for a borrower is 10%, what is the probability that there is no default at the end of 5 years?

39.35%

50.00%

59.05%

60.65%

質問 177
According to the Basel II standard, which of the following conditions must be satisfied before a bank can use
‘mark-to-model’ for securities in its trading book?
I. Marking-to-market is not possible
II. Market inputs for the model should be sourced in line with market prices III. The model should have been created by the front office IV. The model should be subject to periodic review to determine the accuracy of its performance

I, II and IV

II and III

I, II, III and IV

III and IV

According to Basel II, where marking-to-market is not possible, banks may mark-to-model, where this can be demonstrated to be prudent. Marking-to-model is defined as any valuation which has to be benchmarked, extrapolated or otherwise calculated from a market input. When marking to model, an extra degree of conservatism is appropriate. Supervisory authorities will consider thefollowing in assessing whether a mark- to-model valuation is prudent:
* Senior management should be aware of the elements of the trading book which are subject to mark to model and should understand the materiality of the uncertainty this creates in the reporting of the risk/performance of the business.
* Market inputs should be sourced, to the extent possible, in line with market prices. The appropriateness of the market inputs for the particular position being valued should be reviewed regularly.
* Where available, generally accepted valuation methodologies for particular products should be used as far as possible.
* Where the model is developed by the institution itself, it should be based on appropriate assumptions, which have been assessed and challenged by suitably qualified parties independent of the development process. The model should be developed or approved independently of the front office. It should be independently tested.
This includes validating the mathematics, the assumptions and the software implementation.
* There should be formal change control procedures in place and a secure copy of the model should be held and periodically used to check valuations.
* Risk management should be aware of the weaknesses of the models used and how best to reflect those in the valuation output.
* The model should be subject to periodic review to determine the accuracy of its performance (e.g. assessing continued appropriateness of the assumptions, analysis of P&L versus risk factors, comparison of actual close out values to model outputs).
* Valuation adjustments should be made as appropriate, for example, to cover the uncertainty of the model valuation.
The model should be created independent of the front office, and not by it. Therefore statement III does not represent an appropriate choice. Choice ‘a’ is the correct answer.

質問 178
Which of the following measures can be used to reduce settlement risks:

escrow arrangements using a central clearing house

increasing the timing differences between the two legs of the transaction

providing for physical delivery instead of netted cash settlements

all of the above

質問 179
The definition of operational risk per Basel II includes which of the following:
I. Risk of loss resulting from inadequate or failed internal processes, people and systems or from external events II. Legal risk III. Strategic risk IV. Reputational risk

I, II, III and IV

II and III

I and III

I and II

質問 180
According to the implied capital model, operational risk capital is estimated as:

Operational risk capital held by similar firms, appropriately scaled

Total capital less market risk capital less credit risk capital

Capital implied from known risk premiums and the firm’s earnings

Total capital based on the capital asset pricing model

質問 181
An error by a third party service provider results in a loss to a client that the bank has to make up. Such as loss would be categorized per Basel II operational risk categories as:

Execution delivery and process management

Outsourcing loss

Business disruption and process failure

Abnormal loss

質問 182
Which of the following statements is true:
I. Confidence levels for economic capital calculations are driven by desired credit ratings II. Loss distributions for operational risk are affected more by the severity distribution than the frequency distribution III. The Advanced Measurement Approach (AMA) referred to in the Basel II standard is a type of a Loss Distribution Approach (LDA) IV. The loss distribution for operational risk under the LDA (Loss Distribution Approach) is estimated by separately estimating the frequency and severity distributions.

I and II

I, III and IV

I, II and IV

III and IV

質問 183
The 10-day VaR of a diversified portfolio is $100m. What is the 20-day VaR of the same portfolio assuming the market shows a trend and the autocorrelation between consecutive periods is 0.2?

100

200

154.92

141.42

質問 184
What does a middle office do for a trading desk?

Operations

Transaction data entry

Reconciliations

Risk analysis

質問 185
Which of the following statements is correct in relation to liquidity risk management?
I. Pricing for products that do not impact the balance sheet need not reflect the cost of maintaining liquidity II. Time horizons for liquidity risk management are impacted by both regulatory requirements and the speed at which new sources of liquidity can be tapped III. Collateral management is an important aspect of liquidity risk management IV. The maturity period of various instruments in the capital structure has a significant impact on liquidity needs

III and IV

II, III and IV

I and II

II and III

質問 186
Which of the following statements is true in relation to collateral management?
I. A collateral management system need not consider the failure by counterparties to returncollateral when due II. The extent to which counterparties may have rehypothecated collateral is not a consideration for a collateral management system III. Cash is an acceptable substitute for any type of collateral required to be posted IV. Haircuts do not apply to treasury issued instruments posted as collateral

I, II and III

I, II, III and IV

II and III

None of the statements is true

Strong management of collateral, both receivable and payable, is emerging as an area requiring significant investment by financial institutions and asset managers in IT infrastructures and business processes. A bank needs to make collateral calls daily, based upon the P&L of the previous day, and likewise receives collateral calls from its counterparties. Just like cash, a bank needs to make sure that it does not run out of collateral to post when a call is received. Interestingly, based upon the agreements between banks and their mutual understanding, only certain types of instruments often qualify as valid collateral – and in such cases even cash is not acceptable if the right type of bond or other agreed security is not available to post. The operational challenges of managing collateral increase manifold due to ‘rehypothecation’, ie when collateral received from one counterparty gets posted out as collateral where it is due. In such cases, the bank should have the mechanisms to receive the right assets back in a timely way in case rehypothecated assets are to be returned.
The systems should be able to deal with delays, failures without impacting the ability of the bank to post collateral as needed. All of this requires major investments in IT and processes.
Statement I is not true as a bank is bound to post collateral to third parties when needed regardless of the failure of its counterparties to post collateral to it when owed. In the markets, failures by counterparties can and do happen, and a collateral management system needs to account for and keep a buffer for the fact that some collateral when due will not be received.
Statement II is not true as rehypothecation by counterparties of collateral posted increases the chances of the collateral not being received in time. The system should consider the need for liquidity to generate assets that can be posted as collateral when others have failed to return the collateral in a timely way.
Statement III is not correct as cash may not be acceptable to counterparties as collateral. From a practical point of view, they may not have the infrastructure to receive and account for cash as collateral. A Swiss bank, for example, may have an ‘account’ to receive US t-bills as collateral but may not even have a US dollar account to receive cash. Even if it did, the volumes of transactions going back and forth may make tracking and reconciliations impossible. Thus a bank should always make sure that it has the right type of collateral available to post.
Statement IV is incorrect as well, as treasury issued instruments are also subject to haircuts. Their value also fluctuates in response to changes in yields, and therefore they are subject to haircuts as well.
Thus none of the statements are correct and Choice ‘d’ is the correct answer.

質問 187
Which of the following is not true about the ISDA master agreement (ISDA MA):

All transactions under the ISDA MA are considered separate obligations

The ISDA MA describes the close out process

The CSA (Credit Support Annex) is one of the parts of the ISDA MA

The ISDA MA describes events of default, and termination events

質問 188
For a hypotherical UoM, the number of losses in two non-overlapping datasets is 24 and 32 respectively. The Pareto tail parameters for the two datasets calculated using the maximum likelihood estimation method are 2 and 3. What is an estimate of the tail parameter of the combined dataset?

2.57

2.23

Cannot be determined

質問 189
Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):

Probability of default

Effective maturity

Loss given default

Exposure at default

質問 190
When performing portfolio stress tests using hypothetical scenarios, which of the following is not generally a challenge for the risk manager?

Building a consistent set of hypothetical shocks to individual risk factors

Building a positive semi-definite covariance matrix

Considering back office capacity to deal with increased transaction volumes

Evaluating interrelationships between counterparties when considering liquidity risks

質問 191
A zero coupon corporate bond maturing in an year has a probability of default of 5% and yields12%. The recovery rate is zero. What is the risk free rate?

5.26%

7.00%

5.00%

6.40%

質問 192
Which of the following are valid approaches for extreme value analysis given a dataset:
I. The Block Maxima approach
II. Least squares approach
III. Maximum likelihood approach
IV. Peak-over-thresholds approach

II and III

I, III and IV

I and IV

All of the above

質問 193
Which of the following statements is true
I). If no loss data is available, good quality scenarios can be used to model operational risk
II). Scenario data can be mixed with observed loss data for modeling severity and frequency estimates
III). Severity estimates should not be created by fitting models to scenario generated loss data points alone
IV). Scenario assessments should only be used as modifiers to ILD or ELD severity models.

I and II

III and IV

All statements are true

質問 194
Which of the following risks and reasons justify the use of scenario analysis in operational risk modeling:
I). Risks for which no internal loss data is available
II). Risks that are foreseeable but have no precedent, internally or externally
III). Risks for which objective assessments can be made by experts
IV). Risks that are known to exist, but for which no reliable external or internal losses can be analyzed
V). Reducing the complexity of having to fit statistical models to internal and external loss data
VI). Managing the capital estimation process as to produce estimates in line with management’s desired capital buffers.

I, II and III

I, II, III and IV

All of the above

PRMIA 8011（クレジットおよびカウンターパーティーマネージャー（CCRM）証明書）認定試験は、クレジットおよびカウンターパーティーリスク管理のキャリアを追求する個人を対象とした専門認定試験です。この試験は、Professional Risk Managers’ International Association（PRMIA）によって提供され、クレジットおよびカウンターパーティーリスク管理の卓越性の基準として世界的に認められています。

PRMIA 8011事前に試験練習テストPassTest: ：https://www.passtest.jp/PRMIA/8011-shiken.html