8009 試験問題を無料オンラインアクセス

A risk manager is asked to analyze the credit risk of a convertible bond. The risk manager has never analyzed convertible bonds, but does have significant expertise in credit risk. The risk manager accepts the assignment, finds a paper on the subject through the PRMIA web site and copies the method used there. The risk manager completes the assignment and delivers a report to his or her direct supervisor and the supervisor is quite pleased.
According to the PRMIA Standards of Best Practice, Conduct and Ethics (Code of Conduct), this was acceptable behavior if the following conditions were met:
I. The risk manager disclosed the lack of knowledge about convertible bonds II. The methodology employed is disclosed and explained III. The report was just to be used for analysis and not in practice IV. The risk manager was sure of his/her understanding of the paper found on the web

• A.I, II and III
• B.I, II and IV
• C.I only
• D.I and II

Bankgesellschaft Berlin's failures can be best characterised as

• A.none of the above
• B.credit risk caused by overexposure to the property market
• C.both A and B
• D.credit risk caused by a diversified portfolio of poor-quality loans

According to LTCM managers:

• A.Stress Testing was not necessary because their trades were hedged
• B.Stress Testing was not conducted
• C.Stress Testing was elaborate, complex and conducted on their entire portfolio. It included the assumptions of a major breakdown in historical correlations
• D.Stress Testing looked at the 12 biggest deals with each of their top 20 counterparties

According to the Northern Rock Case Study, what is Forced Insolvency?

• A.The bank is insolvent in that the current value of its assets (measured at book value) is less than the value of its liabilities; thus even if the bank were to liquidate all of its assets it would not be able to repay all depositors and other creditors
• B.The bank is legally solvent but if, because it cannot fund its operations, it is forced to liquidate assets it could do so only at less than nominal values (fire sale) and this would make it legally insolvent (value of assets falls below those of liabilities)
• C.The bank is legally solvent but its current funding costs (which are likely to continue) exceed the average rate of return on its assets and hence it would soon become insolvent as it would be making losses and would eventually exhaust its equity capital
• D.The bank is solvent in that the current value of its assets (measured at book value) is more than the value of its liabilities; so even if the bank were to liquidate all of its assets it would be able to repay all depositors and other creditors

Up until 2006, which of the following was not a primary driver for Washington Mutual's earning?

• A.The provision of fee based services to its customers.
• B.Lending to consumers and small businesses.
• C.Deposit taking activities which generated net interest income.
• D.Complex derivative trades based on volatility indices.