PRMIA Operational Risk Manager (ORM) - 8010 Exam Practice Test

Which of the following is not a credit event under ISDA definitions?

Which of the following is not a risk faced by a bank from holding a portfolio of residential mortgages?

Under the KMV Moody's approach to credit risk measurement, how is the distance to default converted to expected default frequencies?

Which of the following describes rating transition matrices published by credit rating firms:

When building a operational loss distribution by combining a loss frequency distribution and a loss severity distribution, it is assumed that:
I. The severity of losses is conditional upon the numberof loss events
II. The frequency of losses is independent from the severity of the losses III. Both the frequency and severity of loss events are dependent upon the state of internal controls in the bank

Which of the following statements is NOT true in relation to the recent financial crisis of 2007-08?

A zero coupon corporate bond maturing in an year has a probability of default of 5% and yields 12%. The recovery rate is zero. What is the risk free rate?

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 theseverity 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.

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

For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:

If the full notional value of a debt portfolio is $100m, its expected value in a year is $85m, and the worst value of the portfolio in one year's time at 99% confidence level is $60m, then what is the credit VaR?

Which of the following does not affect the credit risk facing a lender institution?

When compared to a medium severity medium frequency risk, the operational risk capital requirement for a high severity very low frequency risk is likely to be: