[Q34-Q51] Easily To Pass New 8010 Premium Exam Updated [Apr 02, 2024]

Q34. Which of the following statements are true:
I.Top down approaches help focus management attention on the frequency and severity of loss events, while bottom up approaches do not.
II. Top down approaches rely upon high level data while bottom up approaches need firm specific risk data to estimate risk.
III. Scenario analysis can help capture both qualitative and quantitative dimensions of operational risk.

Q35. Which of the following formulae describes CVA (Credit Valuation Adjustment)? All acronyms have their usual meanings (LGD=Loss Given Default, ENE=Expected Negative Exposure, EE=Expected Exposure, PD=Probability of Default, EPE=Expected Positive Exposure, PFE=Potential Future Exposure)

Q36. Which of the following statements are true?
I. Retail Risk Based Pricing involves using borrower specific data to arrive at both credit adjudication and pricing decisions II. An integrated ‘Risk Information Management Environment’ includes two elements – people and processes III. A Logical Data Model (LDM) lays down the relationships between data elements that an organization stores IV. Reference Data and Metadata refer to the same thing

Q37. If X represents a matrix with ratings transition probabilities for one year, the transition probabilities for 3 years are given by the matrix:

Q38. Which of the following formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.) A)

B)

C)

D)
All of the above

Q39. Concentration risk in a creditportfolio arises due to:

Q40. Credit exposure for derivatives is measured using

Q41. Which of the following statements are true:
I. The three pillars under Basel II are market risk, credit risk and operational risk.
II. Basel II is an improvement over Basel I byincreasing the risk sensitivity of the minimum capital requirements.
III. Basel II encourages disclosure of capital levels and risks

Q42. Under the contingent claims approach to measuring credit risk, which of the following factors does NOT affect credit risk:

Q43. Which of the following statements are true:
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%

Q44. Pick underlying risk factors for a position in an equity index option:
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option

Q45. A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?

Q46. All else remaining the same, an increase in the joint probability of default between two obligors causes the default correlation between the two to:

Q47. In respect of operational risk capital calculations, the Basel II accord recommends a confidence leveland time horizon of:

Q48. The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:

Q49. There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that exactly 1 of the three bonds will default.

Q50. Which of the following statements are true:
I. The sum of unexpected losses for individual loans in a portfolio is equal to the total unexpected loss for the portfolio.
II. The sum of unexpected losses for individual loans in a portfolio is less than the total unexpected loss for the portfolio.
III. The sum of unexpected losses forindividual loans in a portfolio is greater than the total unexpected loss for the portfolio.
IV. The unexpected loss for the portfolio is driven by the unexpected losses of the individual loans in the portfolio and the default correlation between these loans.

Q51. For a FX forward contract, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)