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PRMIA 8008 Exam Syllabus Topics:
Section
Objectives
Topic 1: Operational Risk
- Operational risk management techniques
1. Risk and control self-assessment (RCSA)
2. Loss event data collection
3. Key risk indicators (KRI)
- Operational risk types and sources
Topic 2: Risk Management Frameworks
- Enterprise risk management principles
1. Risk identification and assessment processes
2. Risk governance structure
3. Risk appetite and tolerance
- Risk measurement and reporting frameworks
Topic 3: Funds Transfer Pricing (FTP)
- Internal pricing of funds and liquidity allocation
- FTP methodologies
Topic 4: Asset-Liability Management (ALM)
- Liquidity risk management
- Interest rate risk in the banking book (IRRBB)
Topic 5: Credit Risk
- Credit portfolio risk
- Credit risk measurement and modeling
Which of the following carry greater counterparty risk: a forward contract on a 10 year note, or a commercial paper carrying a AA credit rating with identical maturity and notional?
A. Credit risk can not be compared in these terms
B. The forward contract has greater credit risk as its future gains are unknown
C. They both carry the same credit risk
D. The commercial paper has greater credit risk as the entire notional is outstanding
Answer: D
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Which of the following is not an approach proposed by the Basel II framework to compute operational risk capital?
A. Factor based approach
B. Standardized approach
C. Basic indicator approach
D. Advanced measurement approach
Answer: A
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For the purposes of calculating VaR, an FRA can be modeled as a combination of:
A. a zero coupon bond and a floating rate note
B. a fixed rate bond and a zero coupon bond
C. two zero coupon bonds
D. a zero coupon bond and an interest rate swap
Answer: C
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What is the annualized steady state volatility under a GARCH model where alpha is 0.1, beta is 0.8 and omega is 0.00025?
A. 0.05
B. 0.0025
C. 0.08
D. 0.1
Answer: A
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Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio? (where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.) A) B) C) D)
A. Option D
B. Option A
C. Option B
D. Option C
Answer: B
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