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8010 – Operational Risk Manager (ORM) Exam

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Showing 1–3 of 15 questions

Question 1

An error by a third party service provider results in a loss to a client that the bank has to make up. Such as loss would be categorized per Basel II operational risk categories as:

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    Execution delivery and process management
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    Outsourcing loss
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    Business disruption and process failure
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    Abnormal loss
Question 2

For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:

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    Choice of an incorrect distribution for loss event frequencies
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    Insufficient number of simulations when building the loss distribution
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    Choice of incorrect parameters for loss severity distributions
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    Aggregation risk, from selecting an incorrect value of estimated correlations between different operational risk estimates
Question 3

A Bank Holding Company (BHC) is invested in an investment bank and a retail bank. The BHC defaults for certain if either the investment bank or the retail bank defaults. However, the BHC can also default on its own without either the investment bank or the retail bank defaulting. The investment bank and the retail bank's defaults are independent of each other, with a probability of default of 0.05 each. The BHC's probability of default is 0.11.

What is the probability of default of both the BHC and the investment bank? What is the probability of the BHC's default provided both the investment bank and the retail bank survive?

Select an option, then click Submit answer.

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    0.0475 and 0.10
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    0.11 and 0
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    0.08 and 0.0475
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    0.05 and 0.0125