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一生懸命に8011再テスト &合格スムーズ8011科目対策 |最高の8011キャリアパス

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信頼的8011｜権威のある8011再テスト試験｜試験の準備方法Credit and Counterparty Manager (CCRM) Certificate Exam科目対策

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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam 認定 8011 試験問題 (Q280-Q285):

質問 # 280
For an option position with a delta of 0.3, calculate VaR if the VaR of the underlying is $100.

• A. 0
• B. 33.33
• C. 1
• D. 2

正解：D

解説：
The first order approximation of the VaR of an option position is nothing but the VaR of the underlying multiplied by the option's delta. This is intuitive because the delta is the sensitivity of the option price to changes in the prices of the underlying, and in this case since the delta is 0.3 and the underlying's VaR is
$100, the VaR of the options position is 0.3 x $100 = $30. Therefore Choice 'c' is the correct answer.
(Note that the second order approximation of the VaR of an options position considers the option gamma too, and VaR reduces if gamma increases.)

質問 # 281
The probability of default of a security during the first year after issuance is 3%, that during the second and third years is 4%, and during the fourth year is 5%. What is the probability that it would not have defaulted at the end of four years from now?

• A. 88.53%
• B. 12.00%
• C. 88.00%
• D. 84.93%

正解：D

解説：
The probability that the security would not default in the next 4 years is equal to the probability of survival at the end of the four years. In other words, =(1 - 3%)*(1 - 4%)*(1 - 4%)*(1 - 5%) = 84.93%. Choice 'd' is the correct answer.

質問 # 282
A risk management function is best organized as:

• A. reporting directly to the traders, as to be closest to the point at which risks are being taken
• B. a part of the trading desks and other risk taking teams
• C. report independently of the risk taking functions
• D. integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of the organization.

正解：C

解説：
The point that this question is trying to emphasize is the independence of the risk management function. The risk function should be segregated from the risk taking functions as to maintain independence and objectivity.
Choice 'd', Choice 'c' and Choice 'a' run contrary to this requirement of independence, and are therefore not correct. The risk function should report directly to senior levels, for example directly to the audit committee, and not be a part of the risk taking functions.

質問 # 283
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

• A. 19.5
• B. 14.3
• C. 18.2
• D. 0

正解：C

解説：
For a dataset with 250 observations, the top 2% of the losses will be the top 5 observations. Expected shortfall is the average of the losses beyond the VaR threshold. Therefore the correct answer is (20 + 19 + 19 + 17 +
16)/5 = 18.2m .
Note that Expected Shortfall is also called conditional VaR (cVaR), Expected Tail Loss and Tail average.

質問 # 284
If A and B be two uncorrelated securities, VaR(A) and VaR(B) be their values-at-risk, then which of the following is true for a portfolio that includes A and B in any proportion. Assume the prices of A and B are log- normally distributed.

• A. VaR(A+B) < VaR(A) + VaR(B)
• B. VaR(A+B) > VaR(A) + VaR(B)
• C. The combined VaR cannot be predicted till the correlation is known
• D. VaR(A+B) = VaR(A) + VaR(B)

正解：A

解説：
First of all, if prices are lognormally distributed, that implies the returns (which are equal to the log of prices) are normally distributed. To say that prices are lognormally distributed is just another way of saying that returns are normally distributed.
Since the correlation between the two securities is zero, this means their variances can be added. But standard deviations, or volatilities cannot be added (they will be the square root of sum of variances). VaR is nothing but a multiple of standard deviation, and therefore it is not additive if correlations are anything other than 1 (ie perfect positive, which would imply we are dealing with the same asset). Therefore VaR(A+B)=SQRT(VaR (A)