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8010 – Operational Risk Manager (ORM) Exam

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Showing 7–9 of 15 questions

Question 7

The largest 10 losses over a 250 day observation period are as follows. Calculate the expected shortfall at a 98% confidence level:

20m

19m

19m

17m

16m

13m

11m

10m

9m

9m

Select an option, then click Submit answer.

  • ○

    19.5
  • ○

    14.3
  • ○

    18.2
  • ○

    16
Question 8

Under the KMV Moody's approach to credit risk measurement, how is the distance to default converted to expected default frequencies?

Select an option, then click Submit answer.

  • ○

    Using a proprietary database based on historical information
  • ○

    Using migration matrices
  • ○

    Using a normal distribution
  • ○

    Using Monte Carlo simulations
Question 9

Which of the following is not an approach proposed by the Basel II framework to compute operational risk capital?

Select an option, then click Submit answer.

  • ○

    Basic indicator approach
  • ○

    Factor based approach
  • ○

    Standardized approach
  • ○

    Advanced measurement approach