Free 8010 Exam Questions - Easiest Way for Success

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Total 242 Questions | Updated On: Sep 13, 2024

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Question 1

A risk management function is best organized as:

A : integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of theorganization.

B : report independently of the risk taking functions

C : reporting directly to the traders, as to be closest to the point at which risks are being taken

D : a part of the trading desks and other risk taking teams

Answer: B

Question 2

Which of the following is a cause ofmodel risk in risk management?

A : Programming errors

B : Misspecification of the model

C : Incorrect parameter estimation

D : All of the above

Answer: D

Question 3

There are two bonds in a portfolio, each with a marketvalue of $50m. The probability of default of the two bonds over a one year horizon are 0.03 and 0.08 respectively. If the default correlation is zero, what is the one year expected loss on this portfolio?

A : $11m

B : $5.26m

C : $5.5m

D : $1.38m

Answer: C

Question 4

According to Basel II's definition of operational loss event types, losses due to acts by third parties intended to defraud, misappropriate property or circumvent the law are classified as

A : Internal fraud

B : Execution delivery and system failure

C : External fraud

D : Third party fraud

Answer: C

Question 5

Which of the following is true in relation to the application of Extreme Value Theory when applied to

operational risk measurement?

I. EVT focuses on extreme losses that are generally not covered by standard distribution assumptions

II. EVT considers the distribution of losses in the tails

III. The Peaks-over-thresholds (POT) and the generalized Pareto distributions are used to model extreme value

distributions

IV. EVT is concerned with average losses beyond a given level of confidence

A : I and IV

B : II and III

C : I, II and III

D : I, II and IV

Answer: C

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Total 242 Questions | Updated On: Sep 13, 2024

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