Free PRMIA 8008 Exam Dumps Questions & Answers

A risk analyst uses the GARCH model to forecast volatility, and the parameters he uses are = 0.001%, = 0.05 and = 0.93. Yesterday's daily volatility was calculated to be 1%. What is the long term annual volatility under the analyst's model?

• A.  0.22 %
• B.  0.25 %
• C.  7.94 %
• D.  3.54 %

If and are the expected rate of return and volatility of an asset whose prices are log-normally distributed, and a random drawing from a standard normal distribution, we can simulate the asset's returns using the expressions:

• A.  - .
• B.  / .
• C.  - + .
• D.  + .

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
• C.  III
• D.  I and II

Which loss event type is the loss of personally identifiable client information classified as under the Basel II framework?

• A.  External fraud
• B.  Clients, products and business practices
• C.  Technology risk
• D.  Information security

CreditRisk+, the actuarial model for calculating portfolio credit risk, is based upon:

• A.  the Poisson distribution
• B.  the exponential distribution
• C.  the normal distribution
• D.  the log-normal distribution