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Free 8008 – PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Practice Test Question

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Showing 4–6 of 15 questions

Question 4

The sensitivity (delta) of a portfolio to a single point move in the value of the S&P500 is $100. If the current level of the S&P500 is 2000, and has a one day volatility of 1%, what is the value-at-risk for this portfolio at the 99% confidence and a horizon of 10 days? What is this method of calculating VaR called?

Select an option, then click Submit answer.

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    $14,736, parametric VaR

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    $4,660, Monte Carlo simulation VaR

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    $14,736, historical simulation VaR

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    $4,660, parametric VaR


Question 5

Which of the following would not be a part of the principal component structure of the term structure of futures prices?

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  • ○

    Curvature component

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    Trend component

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    Parallel component

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    Tilt component


Question 6

Changes in which of the following do not affect the expected default frequencies (EDF) under the KMV Moody's approach to credit risk?

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    Changes in the debt level

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    Changes in the risk free rate

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    Changes in asset volatility

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    Changes in the firm's market capitalization