[2025年03月] 無料8011試験問題をゲット！8011実際の無料試験問題 [Q29-Q48]

質問 29
Consider a portfolio with a large number of uncorrelated assets, each carrying an equal weight in the portfolio. Which of the following statements accurately describes the volatility of the portfolio?

質問 30
Stress testing is useful for which of the following purposes:
I). For providing the risk manager with an intuitive check on his risk estimates
II). Providing a means of communicating risk implications using plausible scenarios that can be easily explained to a non-technical audience
III). Guarding against major errors in the form of model risk
IV). Complying with the requirements of Basel II.

質問 31
Which of the following statements is true in relation to a normal mixture distribution:
I. The mixture will always have a kurtosis greater than a normal distribution with the same mean and variance II. A normal mixture density function is derived by summing two or more normal distributions III. VaR estimates for normal mixtures can be calculated using a closed form analytic formula

質問 32
In estimating credit exposure for a line of credit, it is usual to consider:

質問 33
What is the risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?

質問 34
A portfolio’s 1-day VaR at the 99% confidence level is $250m. What is the annual volatility of the portfolio?
(assuming 250 days in the year)

質問 35
Under the standardized approach to calculating operational risk capital, how many business lines are a bank’s activities divided into per Basel II?

質問 36
Which of the following is a most complete measure of the liquidity gap facing a firm?

質問 37
Pick underlying risk factors for a position in an equity index option:
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option

質問 38
Which of the following statements are true:
I. It is usual to set a very high confidence level when estimating VaR for capital requirements.
II. For model validation, very high VaR confidence levels are used to minimize excess losses.
III. For limit setting for managing day to day positions, it is usual to set VaR confidence levels that are neither too low to be exceeded too often, nor too high as to be never exceeded.
IV. The Basel accord requirements for market risk capital require the use of a time horizon of 1 year.

質問 39
A corporate bond maturing in 1 year yields 8.5% per year, while a similar treasury bond yields 4%. What is the probability of default for the corporate bond assuming the recovery rate is zero?

質問 40
Which of the following statements is true in relation to a normal mixture distribution:
I. Normal mixtures represent one possible solution to the problem of volatility clustering II. A normal mixture VaR will always be greater than that under the assumption of normally distributed returns III. Normal mixtures can be applied to situations where a number of different market scenarios with different probabilities can be expected

質問 41
If the default hazard rate for a company is 10%, and the spread on its bonds over the risk free rate is 800 bps, what is the expected recovery rate?

質問 42
The backtesting of VaR estimates under the Basel accord requires comparing the ex-ante VaR to:

質問 43
Which of the following statements are true:
I. Stress testing, if exhaustive, can replace traditional risk management tools such as value-at-risk (VaR) II. Stress tests can be particularly useful in identifying risks with new products III. Stress testing is distinct from a bank’s ICAAP carried out periodically IV. Stress testing is a powerful communication tool that can convey risks to decisionmakers in an organization

質問 44
Which of the following is not an approach used for stress testing:

質問 45
Which of the following are valid approaches to calculating potential future exposure (PFE) for counterparty risk:
I. Add a percentage of the notional to the mark-to-market value
II. Monte Carlo simulation
III. Maximum Likelihood Estimation
IV. Parametric Estimation

質問 46
For an equity portfolio valued at V whose beta is #, the value at risk at a 99% level of confidence is represented by which of the following expressions? Assume # represents the market volatility.

質問 47
Which of the following credit risk models includes a consideration of macro economic variables such as unemployment, balance of payments etc to assess credit risk?

質問 48
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