8010 試験問題を無料オンラインアクセス

If the annual default hazard rate for a borrower is 10%, what is the probability that there is no default at the end of 5 years?

• A.39.35%
• B.59.05%
• C.50.00%
• D.60.65%

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

• A.Unexpected losses
• B.Tail events
• C.Average losses
• D.Expected losses

Which of the following is the best description of the spread premium puzzle:

• A.The spread premium puzzle refers to AAA corporate bonds being priced at almost the same prices as equivalent treasury bonds without offering the same liquidity or guarantee as treasury bonds
• B.The spread premium puzzle refers to observed default rates being much less than implied default rates, leading to lower credit bonds being relatively cheap when compared to their actual default probabilities
• C.The spread premium puzzle refers to the moral hazard implicit in the monoline insurance market
• D.The spread premium puzzle refers to dollar denominated non-US sovereign bonds being priced a at significant discount to other similar USD denominated assets

Which of the following statements are true:
I. Credit VaR often assumes a one year time horizon, as opposed to a shorter time horizon for market risk as credit activities generally span alonger time period.
II. Credit losses in the banking book should be assessed on the basis of mark-to-market mode as opposed to the default-only mode.
III. The confidence level used in the calculation of credit capital is high when the objective is tomaintain a high credit rating for the institution.
IV. Credit capital calculations for securities with liquid markets and held for proprietary positions should be based on marking positions to market.

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

Which of the following statements is true
I. If no loss data is available, good quality scenarios can be used to model operational risk II. Scenario data can be mixed with observed loss data for modeling severity and frequency estimates III. Severity estimates should not be created by fitting models to scenario generated loss data points alone IV. Scenario assessments should only be used as modifiers to ILD or ELD severity models.

• A.III and IV
• B.All statements are true
• C.I and II
• D.I