RELIABLE 8011 PRACTICE MATERIALS & 8011 REAL EXAM TORRENT - ACTUALTESTPDF

Reliable 8011 Practice Materials & 8011 Real Exam Torrent - ActualtestPDF

Reliable 8011 Practice Materials & 8011 Real Exam Torrent - ActualtestPDF

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Tags: Test 8011 Simulator Free, 8011 Official Cert Guide, New 8011 Exam Notes, 8011 Study Material, 8011 Exam Fees

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PRMIA 8011 Exam covers a wide range of topics related to credit and counterparty risk, including credit analysis, credit scoring, credit derivatives, collateral management, and counterparty risk mitigation techniques. 8011 exam is designed for professionals who work in areas such as credit risk management, corporate finance, treasury, and investment management. The CCRM Certificate is highly regarded in the industry and is recognized by leading financial institutions around the world.

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8011 Official Cert Guide - New 8011 Exam Notes

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Earning the PRMIA 8011 Certification provides professionals with a globally recognized credential that demonstrates their expertise in credit and counterparty risk management. Credit and Counterparty Manager (CCRM) Certificate Exam certification can enhance career opportunities, increase earning potential, and demonstrate a commitment to professional development and excellence.

PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q262-Q267):

NEW QUESTION # 262
Which of the following formulae correctly describes Component VaR. (p refers to the portfolio, and i is the i- th constituent of the portfolio. MVaR means Marginal VaR, and other symbols have their usual meanings.)

  • A. I
  • B. II
  • C. I and II
  • D. III

Answer: C

Explanation:
The first two formulae describe component VaR. The last formula is the formula for Marginal VaR. Therefore I and II is the correct answer.
Component VaR is a VaR decomposition technique that allows the total VaR for a portfolio to be broken down and attributed to the components of a portfolio. The total of the component VaR for each constituent of a portfolio is equal to the VaR for the portfolio. This property is extremely useful as opposed to the standalone VaR for each constituent taken alone as it can be used for allocating trading budgets.


NEW QUESTION # 263
As the persistence parameter under GARCH is lowered, which of the following would be true:

  • A. The model will react slower to market shocks
  • B. High variance from the recent past will persist for longer
  • C. The model will give lower weight to recent returns
  • D. The model will react faster to market shocks

Answer: D

Explanation:
The persistence parameter, #, is the coefficient of the most recent day's returns in GARCH calculations. A higher value of the persistence parameter tends to 'persist' the prior value of variance for longer. Consider an extreme example - if the persistence parameter is equal to 1, the variance under GARCH will never change in response to returns.
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NEW QUESTION # 264
A risk analyst uses the GARCH model to forecast volatility, and the parameters he uses are # = 0.001%, # =
0.05 and # = 0.93. Yesterday's daily volatility was calculated to be 1%. What is the long term annual volatility under the analyst's model?

  • A. 7.94 %
  • B. 0.25 %
  • C. 3.54 %
  • D. 0.22 %

Answer: C

Explanation:
The correct answer is choice 'a'
Recall the following summary of the GARCH model. The long term variance in a GARCH model is given by
#/(1 - # - #). In this case, this works out to =SQRT(0.001/(1 - 0.05 - 0.93)) * SQRT(250) = 3.54%. Yesterday's volatility of 1% is irrelevant to the question.
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NEW QUESTION # 265
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):

  • A. Probability of default
  • B. Effective maturity
  • C. Loss given default
  • D. Exposure at default

Answer: A

Explanation:
Regardless of the approach being followed by a bank (ie, whether foundation IRB or advanced IRB), it must make its own estimates for the probability of default. Banks following the foundation IRB approach may use values set by the supervisor for the other three parameters, though those following the advanced IRB approach may use their own estimates for all four inputs. (This is also the difference between advanced IRB and the foundation IRB approaches.) Therefore Choice 'a' is the correct answer.
Also note the four difference elements that go as inputs to the internal ratings based approach in the choices provided.


NEW QUESTION # 266
What percentage of average annual gross income is to be held as capital for operational risk under the basic indicator approach specified under Basel II?

  • A. 0.15
  • B. 0.12
  • C. 0.08
  • D. 0.125

Answer: A

Explanation:
Banks using the basic indicator approach must hold 15% of the average annual gross income for the past three years, excluding any year that had a negative gross income. Therefore Choice 'd' is the correct answer.


NEW QUESTION # 267
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