PRMIA 8008

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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 situations are not suitable for applying parametric VaR:
I. Where the portfolio's valuation is linearly dependent upon risk factors II. Where the portfolio consists of non-linear products such as options and large moves are involved III. Where the returns of risk factors are known to be not normally distributed

A) I and III
B) II and III
C) I and II
D) All of the above

2. Which of the following is not an example of a risk concentration?

A) Large combined positions in assets affected by different risk factors that are highly correlated
B) Origination of a large number of SIVs with exposures to the same asset class, where the SIVs are separate legal entities without recourse to the originator
C) Location of a portfolio's assets in a single country but spread across different industries
D) Material amounts of treasury obligations held as collateral provided by a single counterparty

3. The largest 10 losses over a 250 day observation period are as follows. Calculate the expected shortfall at a
98% confidence level:
20m
19m
19m
17m
16m
13m
11m
10m
9m
9m

A) 16
B) 18.2
C) 19.5
D) 14.3

4. Consider a portfolio with a large number of uncorrelated assets, each carrying an equal weight in the portfolio.
Which of the following statements accurately describes the volatility of the portfolio?

A) The volatility of the portfolio will be equal to the weighted average of the volatility of the assets in the portfolio
B) The volatility of the portfolio will be close to zero
C) The volatility of the portfolio is the same as that of the market
D) The volatility of the portfolio will be equal to the square root of the sum of the variances of the assets in the portfolio weighted by the square of their weights

5. For the purposes of calculating VaR, an interest rate swap can be modeled as a combination of:

A) two zero coupon bonds
B) a fixed coupon bond and a floating rate note
C) a zero coupon bond and an interest rate swap
D) a fixed rate bond and a zero coupon bond

Solutions: