Sep 28, 2022 Detailed New 8010 Exam Questions for Concept Clearance [Q53-Q71]

Q53. The generalized Pareto distribution, when used in the context of operational risk, is used to model:

Q54. Which of the following statements are true:
I. A high score according to Altman’s Z-Score methodology indicates a lower default risk II. A high score according to theProbit or Logit models indicates a higher default risk III. A high score according to Altman’s Z-Score methodology indicates a higher default risk IV. A high score according to the Probit or Logit models indicates a lower default risk

Q55. The frequency distribution for operational risk loss events can be modeled by which of the following distributions:
I. The binomial distribution
II. The Poisson distribution
III. The negative binomial distribution
IV. The omega distribution

Q56. Which of the following losses can be attributed to credit risk:
I. Losses in a bond’s value from a credit downgrade
II. Losses in a bond’s value from an increase in bond yields
III. Losses arising from a bond issuer’sdefault
IV. Losses from an increase in corporate bond spreads

Q57. Which loss event type is the failure to timely deliver collateral classified as under the Basel II framework?

Q58. CreditRisk+, the actuarial model for calculating portfolio credit risk, is based upon:

Q59. Which of the following cannot be used as an internal credit rating model to assess an individual borrower:

Q60. If EV be the expected value of a firm’s assets in a year, and DP be the ‘default point’ per the KMV approach to credit risk, and be the standard deviation of future asset returns, then the distance-to-default is given by:
A)

B)

C)

D)

Q61. When compared to a low severity high frequency risk, the operational risk capital requirement for a medium severity medium frequency risk is likely to be:

Q62. For a loan portfolio, unexpected losses are charged against:

Q63. A key problem with return on equity as a measure of comparative performance is:

Q64. 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

Q65. A long position in a creditsensitive bond can be synthetically replicated using:

Q66. 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

Q67. If X represents a matrix with ratings transition probabilities for one year, the transition probabilities for 3 years are given by the matrix:

Q68. Which of the following techniques is used to generate multivariate normal random numbers that are correlated?

Q69. Which of the following statements is true:

Q70. Which of the following are valid criticisms of value at risk:
I. There are many risks that a VaR framework cannot model
II. VaR does not considerliquidity risk
III. VaR does not account for historical market movements
IV. VaR does not consider the risk of contagion

Q71. Which of the following describes rating transition matrices published by credit rating firms: