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PRMIA 8010（Operational Risk Manager（ORM））認定試験は、オペレーショナルリスク管理の知識とスキルを検証したい専門家にとって有益なプログラムです。この認定は、グローバルに認められ、その分野における卓越性を示します。PRMIA 8010認定を取得することにより、専門家はキャリアの見通しを改善し、リスク管理専門家のグローバルネットワークにアクセスし、最新の業界動向やベストプラクティスに常にアップデートできます。
Operational Risk Manager（ORM）試験としても知られるPRMIA 8010試験は、運用リスク管理の分野でのキャリアを追求することに関心のある専門家向けに設計された認定プログラムです。この試験は、リスク管理の分野でのベストプラクティスの促進に専念する組織であるProfessional Risk Managers 'International Association（PRMIA）によって開発されました。
PRMIA 8010試験は、100の複数選択の質問で構成されるコンピューターベースの試験です。候補者は、試験を完了するために合計2時間を持っています。試験の合格スコアは60％です。つまり、候補者は合格するために100の質問のうち少なくとも60に正しく答えなければなりません。この試験は、英語、中国語、スペイン語を含む複数の言語で利用でき、世界中の候補者がアクセスできるようにします。
質問 # 20
Which of the following is not a permitted approach under Basel II for calculating operational riskcapital
- A. the advanced measurement approach
- B. the standardized approach
- C. the basic indicator approach
- D. the internal measurement approach
正解：D
解説：
Explanation
The Basel II framework allows the use of the basic indicator approach, thestandardized approach and the advanced measurement approaches for operational risk. There is no approach called the 'internal measurement approach' permitted for operational risk. Choice 'a' is therefore the correct answer.
質問 # 21
Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):
- A. Loss given default
- B. Effective maturity
- C. Probability of default
- D. Exposure at default
正解：C
解説：
Explanation
Regardless of the approach being followed by a bank (ie, whether foundation IRB or advanced IRB), it must make its own estimates for the probability of default. Banks following the foundation IRB approach may use values set by the supervisor for the other three parameters, though those following the advanced IRB approach may use their own estimates for all four inputs.(This is also the difference between advanced IRB and the foundation IRB approaches.) Therefore Choice 'a' is the correct answer.
Also note the four difference elements that go as inputs to the internal ratings based approach in the choicesprovided.
質問 # 22
Which of the following objectives are targeted by rating agencies when assigning ratings:
I. Ratings accuracy
II. Ratings stability
III. High accuracy ratio (AR)
IV. Ranked ratings
- A. I, II and III
- B. II and III
- C. III and IV
- D. I and II
正解：D
解説：
Explanation
Rating agencies target both accuracy and stability when they assign ratings. These two objectives can sometimes conflict, so a balance needs to be struck between the two. Rating agencies do not target anyparticular 'accuracy ratio' or rankings. Therefore Choice 'c' is the correct answer.
質問 # 23
Which of the following are true:
I. The total of the component VaRs for all components of a portfolio equals the portfolio VaR.
II. The total of the incremental VaRs for each position in a portfolio equals the portfolio VaR.
III. Marginal VaR and incremental VaR are identical for a $1 change in the portfolio.
IV. The VaR for individual components of a portfolio is sub-additive, ie the portfolio VaR is less than (or in extreme cases equal to) the sum of the individual VaRs.
V. The component VaR for individual components of a portfolio is sub-additive, ie the portfolio VaR is less than the sum of the individual component VaRs.
- A. II and IV
- B. I and II
- C. I,III and IV
- D. II and V
正解：C
解説：
Explanation
Statement I is true - component VaR for individual assets in the portfolio add up to the total VaR for the portfolio. This property makes component VaR extremely useful for risk disaggregation and allocation.
Stateent II is incorrect, the incremental VaRs for the positions in a portfolio do not add up to the portfolio VaR, in fact their sum would be greater.
Statement III is correct. Marginal VaR for an asset or position in the portfolio is by definition the change in the VaR as a result of a $1 change in that position. Incremental VaR is the change in the VaR for a portfolio from a new position added to the portfolio - and if that position is $1, it would be identical to the marginal VaR.
Statement IV is correct, VaR is sub-additive due to the diversification effect. Adding up the VaRs for all the positions in a portfolio will add up to more than the VaR for the portfolio as a whole (unless all the positions are 100% correlated, which effectively would mean they are all identical securities which means the portfolio has only one asset).
Statement V is in incorrect. As explained for Statement I above, component VaR adds up to the VaR for the portfolio.
質問 # 24
For a given mean, which distribution would you prefer for frequency modeling where operational risk events are considered dependent, or in other words are seen as clustering together (as opposed to being independent)?
- A. Gamma
- B. Binomial
- C. Poisson
- D. Negative binomial
正解：D
解説：
Explanation
An interesting property that distinguishes the three most used distributions for modeling event frequency is that for a given mean, their variances differ. The ratio of variance to mean (the variance-mean ratio, calculated as variance/mean) can then be used to decide the kind of distribution to use. Both the variance and the mean can be estimated from available data points from the internal or external loss databases, or the scenario exercise.
The variance-mean ratio reflects how dispersed a distribution is. (In the PRMIA handbook, the variance to mean ratio has been described as the "Q-Factor".) The Poisson distribution has its mean equal to its variance, and therefore the variance to mean ratio is 1. For the negative binomial distribution, this ratio is always greater than 1, which means there is greater dispersion compared to the mean - or more intervals with low counts as well as more intervals with high counts. For the binomial distribution, the variance to mean ratio is less than one, which means it is less dispersed than the Poisson distribution with values closer to the mean.
In a situation where operational risk events are seen as clustering together, ordependent, the variance will be higher and it would be more appropriate to use the negative binomial distribution.
質問 # 25
Which of the following formulae correctly describes Component VaR. (p refers to the portfolio, and i is the i-th constituent of the portfolio. MVaR means Marginal VaR, and other symbols have their usual meanings.)
- A. II
- B. I and II
- C. III
- D. I
正解：B
解説：
Explanation
The first two formulae describe component VaR. The last formula is the formula for Marginal VaR. Therefore I and II is the correct answer.
Component VaR is a VaR decomposition technique that allows the total VaR for a portfolio to be broken down and attributed to the components of a portfolio. The total of the component VaR for each constituent of a portfolio is equal to the VaR for the portfolio. This property is extremely useful as opposed to the standalone VaR for each constituent taken alone as it can be used for allocating trading budgets.
質問 # 26
A risk analyst peforming PCA wishes to explain80% of the variance. The first orthogonal factor has a volatility of 100, and the second 40, and the third 30. Assume there are no other factors. Which of the factors will be included in the final analysis?
- A. First
- B. First and Second
- C. Insufficient information to answer the question
- D. First, Second and Third
正解：A
解説：
Explanation
The total variance of the system is 100^2 + 40^2 + 30^2 = 12500 (as variance = volatility squared). The first factor alone has a variance of 10,000, or 80%. Therefore only the first factor will be included in the final analysis, and the rest will be ignored.
Interestingly, this example highlights one of the limitations of PCA. Obviously, the second and third factors are material when considering volatility, though the effect of squaring them to get the variance makes them appear less important than they are.
質問 # 27
Which of the following statements is true in respect of a non financial manufacturing firm?
I. Market risk is not relevant to the manufacturing firm as it does not take proprietary positions II. The firm faces market risks as an externality which it must bear and has no control over III. Market risks can make a comparative assessment of profitability over time difficult IV. Market risks for a manufacturing firm are not directionally biased and do not increase the overall risk of the firm as they net to zero over a long term time horizon
- A. I and II
- B. III only
- C. III and IV
- D. IV only
正解：B
解説：
Explanation
A non-financial firm such as a manufacturing company faces market risks similar to those faced by financial firms, except perhaps for not being exposed to risks from the equity markets. Non financial firms commonly face interest rate risks in respect of their debts, commodity price risks in respect of their inputs and products, and foreign currency risks in respect of their overseas operations. It is therefore not correct to say that the manufacturing firm does not face market risk because it does not take proprietary positions. While decisions on positions may not be actively taken, positions in foreign exchange (eg, through overseas debtors owing foreign currency, or liabilities in foreign currencies to overseas suppliers), commodities (through exposure to the need for raw material and inventory of finished goods) and interest rates (through debt financed, whether at fixed or floating rates) exist and create market risk much in the same way as they would for a proprietary position. Therefore statement I is incorrect.
While the firm faces market risks as an externality (as do financial firms for that matter, though often they seek such exposure to profit from their view on which way the externality will express itself), it is incorrect to say that these risks must be borne. They can be measured and hedged. Therefore statement II is incorrect.
The results of a manufacturing firm will include gains and losses arising from exposure to market risk, and will cloud the true profitability of the business. A firm with significant unhedged overseas sales may show vastly different results across time periods due to the FX gains and losses, making comparative assessment of profitability difficult. Therefore statement III is correct.
Market risks for a manufacturing firm may be directionally biased in terms of exposure, ie there may be a consistent 'long' position in a particular commodity that the firm produces, and a consistent 'short' position in the commodities consumed. In the same way, directional biases may exist in FX or interest rate exposures too.
Regardless of the bias, the existence of market risk exposures increase the volatility of the income stream and make the firm more risky, even though the long term expected returns from such exposures is zero (ie, returns may be zero but standard deviation is not). Therefore statement IV is not correct as market risks form non financialfirms do increase the overall risk of the firm.
質問 # 28
A risk analyst attempting to model the tail of a loss distribution using EVT divides the available dataset into blocks of data, and picks the maximum of each block as a data point to consider.
Which approach is the risk analyst using?
- A. Fourier transformation
- B. Block Maxima approach
- C. Expected loss approach
- D. Peak-over-thresholds approach
正解：B
解説：
Explanation
The risk analyst is using the block maxima approach. The data points that result will then be used to fit a GEV distribution.
Expected shortfall refers to the expected losses beyond a specified threshold. The peaks-over-threshold approach is an alternative approach to the block maxima approach, and involves considering exceedances above a threshold. Fourier transformation is not relevant in this context, and is a non-sensical option.
質問 # 29
According to the Basel framework, shareholders' equity and reserves are considered a part of:
- A. Tier 2 capital
- B. All of the above
- C. Tier 3 capital
- D. Tier 1 capital
正解：D
解説：
Explanation
According to the Basel II framework, Tier 1 capital, also called core capital or basic equity, includes equity capital and disclosed reserves.
Tier 2 capital, also called supplementary capital, includes undisclosed reserves, revaluation reserves, general provisions/general loan-loss reserves, hybrid debt capital instruments and subordinated term debt.
Tier 3 capital, or short term subordinated debt, is intended only to cover market risk but only at the discretion of their national authority.
質問 # 30
For creditrisk calculations, correlation between the asset values of two issuers is often proxied with:
- A. Default correlations
- B. Credit migration matrices
- C. Equity correlations
- D. Transition probabilities
正解：C
解説：
Explanation
Asset returns are relevant for credit risk models where a default is related to the value of the assets of the firm falling below the default threshold. When assessing credit risk for portfolios with multiple credit assets, it becomes necessary to know the asset correlations of the different firms. Since this data is rarely available, it is very common to approximate asset correlations using equity prices. Equity correlations are used as proxies for asset correlation, therefore Choice 'c' is the correct answer.
質問 # 31
As the persistence parameter under EWMA is lowered, which of the following would be true:
- A. High variance from the recent past will persist for longer
- B. The model will react slower to market shocks
- C. The model will give lower weight to recent returns
- D. The model will react faster to market shocks
正解：D
解説：
Explanation
The persistence parameter, , is the coefficient of the prior day's variance in EWMA calculations. A higher value of the persistence parameter tends to 'persist' the prior value of variance for longer. Consider an extreme example - if the persistence parameter is equal to 1, the variance under EWMA will never change in response to returns.
1 - is the coefficient of recent market returns. As is lowered, 1 - increases,giving a greater weight to recent market returns or shocks. Therefore, as is lowered, the model will react faster to market shocks and give higher weights to recent returns, and at the same time reduce the weight on prior variance which will tend to persist for a shorter period.
質問 # 32
Which of the following distributions is generally not used for frequency modeling for operational risk
- A. Binomial
- B. Negative binomial
- C. Gamma
- D. Poisson
正解：C
解説：
Explanation
Frequency modeling is performed using discrete distributions that have a positive integer as a resultant - this allows for the number of events per period of time to be modeled. Of thedistributions listed above, Poisson, negative binomial and binomial can be used for modeling frequency distributions. The Poisson and negative binomial distributions are encountered the most in practice.
The gamma distribution is a continuous distributionand cannot be used for frequency modeling.
質問 # 33
Company A issues bonds with a face value of $100m, sold at issuance at $98. Bank B holds $10m in face of these bonds acquired at a price of $70. What is Bank B's exposure to the debt issued by Company A?
- A. $9.8m
- B. $7m
- C. $6.86m
- D. $10m
正解：B
解説：
Explanation
Bank B's exposure is measured by the price it paid for the bonds, which in this case is $7m ($10m x 70/100).
Hence Choice 'c' represents the correct answer.
(Note that the question is asking for 'exposure' and not the legal claim in the event of default. The legal claim in the event of default would be the full notional of $10m. ) The initial issue price and issue size are irrelevant.
質問 # 34
The principle underlying the contingent claims approach to measuring credit risk equates the cost of eliminating credit risk for a firm to be equal to:
- A. the value of a put on the firm's assets with a strike equal to the value of the debt
- B. the cost of a call on thefirm's assets with a strike equal to the value of the debt
- C. the market valuationof the firm's equity less the value of its liabilities
- D. the probability of the firm's assets falling below the critical value for default
正解：A
解説：
Explanation
Under the contingent claims approach, a firm will default on its debt when the value of its assets fall to less than the face value of the debt. Debt holders can protect themselves against such an event by buying a put on the assets of the firm, where the strike price is equal to the value of the debt. In other words, Risky Debt + Put on the firm's assets = Risk free debt. This is because if the value of the assets is greater thanthe value of the debt, they will be paid in full. If the value of the assets is lower than the value of the debt, they will exercise the put and be paid in full.
Therefore the value of the put on the firm's assets with a strike equal to the value ofthe debt represents the cost of eliminating credit risk. Choice 'b' is the correct answer.
Note that it is improbable that a put on the firm's assets is available in real life to debt holders. However, the same effect can be synthetically achieved by usingthe shares of the firm as a proxy for its assets, and shorting an appropriate number of shares. Such a synthetic put will require frequent readjustments.
質問 # 35
What would be the correct order of steps to addressing data quality problems in an organization?
- A. Design the future state, perform a gap analysis, analyze the current state and implement the future state
- B. Assess the current state, design the future state, determine gaps and the actions required to be implemented to eliminate the gaps
- C. Articulate goals, do a 'strategy-fit' analysis and plan for action
- D. Call in external consultants
正解：B
解説：
Explanation
The correct answer is choice 'a'
The correct order of steps to addressing data quality problems in an organization would include:
1. Assesing the current state
2. Designing the future state, and
3. Planning and implementation which would include identifying the gaps between the current and the desired future state, and implementation to address the gaps.
Therefore Choice 'a' is the correct answer.
Choice 'c' is incorrect because a gap analysis cannot be performed without understanding the 'as-is' (which results from understanding the current state).
Choice 'b' is non-sensical, and Choice 'd' is a flippant option (though often used in real life situations by management as an easy (and ineffective) way to escape accountability for difficult problems)
質問 # 36
When building a operational loss distribution by combining a loss frequency distribution and a loss severity distribution, it is assumed that:
I. The severity of losses is conditional upon the numberof loss events
II. The frequency of losses is independent from the severity of the losses III. Both the frequency and severity of loss events are dependent upon the state of internal controls in the bank
- A. I, II and III
- B. I and II
- C. II and III
- D. II
正解：D
解説：
Explanation
When a operational loss frequency distribution (which, for example, may be based upon a Poisson distribution) and a loss severity distribution (for example, based upon a lognormal distribution), it is assumed that the frequency of losses and the severity of the losses are completely independent and do not impact each other. Therefore statement II is correct, and the others are not valid assumptions underlying the operational loss distribution.
質問 # 37
A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?
- A. They would have identical exposure half way through their lives
- B. The amortizing loan
- C. Indeterminate with the given information
- D. The bullet bond
正解：D
解説：
Explanation
A bullet bond is a bond that pays coupons covering interest during the life of the bond and theprincipal at maturity. An amortizing loan pays the interest as well as a part of the principal with every payment. Therefore, the exposure of the amortizing loan continually reduces, and approaches zero towards the end of its life. The bullet bond will always have a higher exposure at any time during its life when compared to an equivalent amortizing loan. Hence Choice 'd' is the correct answer.
質問 # 38
Which of the following risks and reasons justify the use of scenario analysis in operational riskmodeling:
I. Risks for which no internal loss data is available
II. Risks that are foreseeable but have no precedent, internally or externally III. Risks for which objective assessments can be made by experts IV. Risks that are known to exist, but for which no reliable external or internal losses can be analyzed
V. Reducing the complexity of having to fit statistical models to internal and external loss data VI. Managing the capital estimation process as to produce estimates in line with management's desired capital buffers.
- A. I, II and III
- B. V
- C. All of the above
- D. I, II, III and IV
正解：D
解説：
Explanation
All the reasons and risks presented above are valid reasons for using scenario analysis, except V and VI - ie, the need to reduce the complexity of calculations is not a valid reason for using scenario analysis. Similarly, making operational risk capital estimates match management's desired capital allocation targets is also not a valid reason. Capital calculations are intended to provide adequate capital for managing the risk from operations, regardless of what management may desire them to be.
質問 # 39
The CDS rate on a defaultable bond is approximated by which of the following expressions:
- A. Loss given default x Default hazard rate
- B. Credit spread x Loss given default
- C. Hazard rate x Recovery rate
- D. Hazard rate / (1 - Recovery rate)
正解：A
解説：
Explanation
The CDS rate is approximated by the [Loss given default x Default hazard rate]. Thus Choice 'b' is the correctanswer.
Note that this is also equal to the credit spread on the reference bond over the risk free rate. Therefore credit spreads and CDS rates are generally the same. Also, 'loss given default' is nothing but (1 - Recovery rate). This can besubstituted in the formula for the credit spread to get an alternative expression that directly refers to the recovery rate. Therefore all other choices are incorrect.
質問 # 40
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