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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam ่ชๅฎ 8011 ่ฉฆ้จๅ้ก (Q35-Q40):
่ณชๅ # 35
An operational loss severity distribution is estimated using 4 data points from a scenario. The management institutes additional controls to reduce the severity of the loss if the risk is realized, and as a result the estimated losses from a 1-in-10-year losses are halved. The 1-in-100 loss estimate however remains the same.
What would be the impact on the 99.9th percentile capital required for this risk as a result of the improvement in controls?
- A. The capital required will increase
- B. The capital required will stay the same
- C. Can't say based on the information provided
- D. The capital required will decrease
ๆญฃ่งฃ๏ผA
่งฃ่ชฌ๏ผ
This situation represents one of the paradoxes in estimating severity that one needs to be aware of - the improvement in controls reduces the weight of the body/middle of the distribution and moves it towards the tails (as the total probability under the curve must stay at 100%) and the distributionbecomes more heavy tailed. As a result, the 99.9th percentile loss actually increases. instead of decreasing, creating a counterintuitive result. Therefore the correct answer is that the capital required will increase.
If scenario analysis produces such a result, the analyst must question if the 1 in 100 year loss severity is still accurate. If the new control has reduced the severity in the body of the distribution, the question as to why the more extreme losses have not changed should be raised.
ย
่ณชๅ # 36
The capital adequacy ratio applied to risk weighted assets for the calculation of capital requirements for credit risk per Basel II is:
- A. 12.5%
- B. 150%
- C. 8%
- D. 100%
ๆญฃ่งฃ๏ผC
่งฃ่ชฌ๏ผ
The capital adequacy ratio, also called the minimum capital requirement for credit risk per Basel II is 8% of risk weighted assets. The other choices are incorrect.
ย
่ณชๅ # 37
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
- A. The actuarial approach
- B. CreditPortfolio View
- C. The contingent claims approach
- D. The CreditMetrics approach
ๆญฃ่งฃ๏ผA
่งฃ่ชฌ๏ผ
The correct answer is Choice 'd'. The following is a brief description of the major approaches available to model credit risk, and the analysis that underlies them:
1. CreditMetrics: based on the credit migration framework. Considers the probability of migration to other credit ratings and the impact of such migrations on portfolio value.
2. CreditPortfolio View: similar to CreditMetrics, but adds the impact of the business cycle to the evaluation.
3. The contingent claims approach: uses option theory by considering a debt as a put option on the assets of the firm.
4. KMV's EDF (expected default frequency) based approach: relies on EDFs and distance to default as a measure of credit risk.
5. CreditRisk+: Also called the 'actuarial approach', considers default as a binary event that either happens or does not happen. This approach does not consider the loss of value from deterioration in credit quality (unless the deterioration implies default).
ย
่ณชๅ # 38
A bank extends a loan of $1m to a home buyer to buy a house currently worth $1.5m, with the house serving as the collateral. The volatility of returns (assumed normally distributed) on house prices in that neighborhood is assessed at 10% annually. The expected probability of default of the home buyer is 5%.
What is the probability that the bank will recover less than the principal advanced on this loan; assuming the probability of the home buyer's default is independent of the value of the house?
- A. Less than 1%
- B. More than 1%
- C. More than 5%
- D. 0
ๆญฃ่งฃ๏ผA
่งฃ่ชฌ๏ผ
The bank will not be able to recover the principal advanced on this loan if both the home buyer defaults, and the house value falls to less than $1m, ie the price moves adversely by more than $500k, which is $-500k
/$150k = -3.33#. (Note that 150k is the 1 year volatility in dollars, ie $1.5m * 10%).
The probability of both these things happening together is just the product of the two probabilities, one of which we know to be 5%. The other is also certainly a small number, and intuitively it is clear that the probability of both the things happening together will be less than 1%.
For a more precise answer, we can calculate the probability of the house price falling by 3.33 standard deviations by calculating the area under the standard normal curve to the left of -3.33#. This indeed is a very small number (actually equal to NORMSINV(-3.33)=0.00043), which when multiplied by the probability of default of the home buyer at 5% is certainly going to be less than 1%. Therefore Choice 'b' is the correct answer.
ย
่ณชๅ # 39
Which of the following best describes a 'break clause ?
- A. A break clause sets out the conditions under which the transaction will be terminated upon non- compliance with the ISDA MA
- B. A break clause describes rights and obligations when the derivative contract is broken
- C. A break clause gives either party to a transaction the right to terminate the transaction at market price at future date(s)
- D. A break clause determines the process by which amounts due on early termination will be determined
ๆญฃ่งฃ๏ผC
่งฃ่ชฌ๏ผ
A break close, also called a 'mutual put', gives either party the right to terminate a transaction at market price at a given date, or dates in the future. These are usually availed of in longer dated transactions, eg 10 years and over. For example, a 15-year swap might have a mutual put in year 5, and every 2 years thereafter.
All other choices are incorrect.
ย
่ณชๅ # 40
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