2022 PRMIA 8010시험정보,8010덤프,8010질문및답변,8010최신덤프|testpassport

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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.Block Maxima approach

B.Peak-over-thresholds approach

C.Expected loss approach

D.Fourier transformation

Answer : A

Which of the following is not a limitation of the univariate Gaussian model to capture the codependence structure between risk factros used for VaR calculations?

A.The univariate Gaussian model fails to fit to the empirical distributions of risk factors, notably their fat tails and skewness.

B.Determining the covariance matrix becomes an extremely difficult task as the number of risk factors increases.

C.It cannot capture linear relationships between risk factors.

D.A single covariance matrix is insufficient to describe the fine codependence structure among risk factors as non-linear dependencies or tail correlations are not captured.

Answer : C

As the persistence parameter under EWMA is lowered, which of the following would be true:

A.The model will react slower to market shocks

B.The model will react faster to market shocks

C.High variance from the recent past will persist for longer

D.The model will give lower weight to recent returns

Answer : B

Which of the following will be a loss not covered by operational risk as defined under Basel II?

A.Earthquakes

B.Fat finger losses

C.Systems failure

D.Strategic planning

Answer:D