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Die PRMIA 8011 Zertifizierungsprüfung umfasst ein breites Spektrum an Themen im Zusammenhang mit Kredit- und Kontrahentenrisikomanagement, einschließlich Kreditanalyse, Kreditrisikomessung, Kreditrisikomodellen, Kontrahentenrisikomanagement, Kreditderivaten und strukturierten Finanzierungen. Es umfasst auch regulatorische Rahmenbedingungen wie Basel III und die Rolle von Ratingagenturen im Kreditrisikomanagement.
Die PRMIA 8011 -Zertifizierungsprüfung ist ein wertvoller Berechtigung für Fachleute im Bereich Kredit- und Gegenpartei -Risikomanagement. Es kann Einzelpersonen helfen, ihr Wissen und ihre Fachkenntnisse zu demonstrieren, was zu neuen Beschäftigungsmöglichkeiten, Werbeaktionen und anderen Möglichkeiten für berufliche Fortschritte führen kann. Wenn Sie an dieser Zertifizierung interessiert sind, ist es wichtig, sich gründlich vorzubereiten und sich die Zeit zu nehmen, um das Prüfungsmaterial sorgfältig zu untersuchen.
Die PRMIA 8011-Prüfung umfasst eine breite Palette von Themen im Zusammenhang mit Kreditrisiken und Kontrahentenrisiken, einschließlich Kreditanalyse, Kreditratings, Kreditderivate, Kreditportfoliomanagement, Kontrahentenrisikomanagement und mehr. Das Programm bietet Fachleuten ein umfassendes Verständnis der Prinzipien, Tools und Techniken, die im Kredit- und Kontrahentenrisikomanagement verwendet werden. Die Prüfung ist darauf ausgelegt, das Wissen und die Fähigkeiten von Fachleuten in diesen Bereichen zu testen, und diejenigen, die die Prüfung bestehen, erhalten das PRMIA CCRM-Zertifikat.
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300. Frage
A long position in a credit sensitive bond can be synthetically replicated using:
Antwort: D
Begründung:
The correct answer is choice 'a'
A long position in a credit sensitive bond is equivalent to earning the risk free rate and the spread on the bond.
The risk free rate can be earned through a long position in a treasury bond, and the spread can be earned in the form of premiums on a CDS, which are received by the protectionseller, ie the party short a CDS contract.
Therefore we can get the same results as a long bond position using a combination of a long treasury bond and a short position in a CDS. Choice 'a' is the correct answer.
301. Frage
Which of the following statements is true:
I. Recovery rate assumptions can be easily made fairly accurately given past data available fromcredit rating agencies.
II. Recovery rate assumptions are difficult to make given the effect of the business cycle, nature of the industry and multiple other factors difficult to model.
III. The standard deviation of observed recovery rates is generally very high, making any estimate likely to differ significantly from realized recovery rates.
IV. Estimation errors for recovery rates are not a concern as they are not directionally biased and will cancel each other out over time.
Antwort: D
Begründung:
Recovery rates vary a great deal from year to year, and are difficult to predict. Therefore statement III is true.
Similarly, any attempt to predict these is hamstrung by a high standard error, which can be as high as the historical mean itself. The error does not cancel itself out due to the effect of the business cycle making the error directionally biased. Thus statement IV is false.
Statement II is true as these are all factors that make forecasting recovery rates for any credit risk model rather difficult. Statement I is false because recovery rates are difficult to predict and assumptions are not easy to make.
302. Frage
Which of the following is not true about the ISDA master agreement (ISDA MA):
Antwort: B
Begründung:
The ISDA MA provides a template that can be used by market participants to document derivative transactions. It has a core section that applies always, and various schedules that can be agreed to by the parties. The ISDA MA considerably facilitates closing transactions once the ISDA MA has been has been negotiated, without requiring a renegotiation each time.
A key feature of the ISDA MA is that it binds all transactions into a single net obligation. The ISDA Master
2002 states that "All transactions are entered into in reliance on the fact that this Master Agreement and all Confirmations form a single agreement between the parties ... and the parties would not otherwise enter into any Transactions." Therefore transactions under the ISDA MA are not considered separate obligations.
The ISDA MA does indeed define close out processes, default and termination events, and the CSA is one of the parts of the MA that describes the collateral related agreement.
303. Frage
Which of the following are valid objectives of a reverse stress test:
I. Ensure that a firm can survive for long enough after risks have materialized for it to either regainmarket confidence, restructure or be sold, or be closed down in an orderly manner, II. Discover the vulnerabilities of the current business plan, III. Better integrate business and capital planning, IV. Create a 'zero-failure' environment at the systemic level in the financial sector
Antwort: B
Begründung:
Statement I is true. According to the statement CP08/24: Stress and scenario testing (December 2008) issued by the FSA in the UK, an underlying objective of reverse stress tests is to ensure that a firm can survive long enough after risks have crystallized for one of the following to occur:
- the market decides that its lack of confidence is unfounded and recommences transacting with the firm;
- the firm down-sizes and re-structures its business;
- the firm is taken over, or its business is transferred in an orderly manner; or
- public authorities take the firm over, or wind down its business in an orderly manner.
Statement II and III are true. The same statement clarifies the intention of the reverse stress testing requirement, which is to encourage firms to: explore more fully the vulnerabilities of theirbusiness model (including 'tail risks'); make decisions that better integrate business and capital planning; and improve their contingency planning.
Statement IV is incorrect. Since the question is asking for the statement which is NOT an objective for reverse stress tests, Choice 'b' is the correct answer. The same statement clarifies that the introduction of a reverse- stress test requirement should not be interpreted as indicating that the FSA is pursuing a 'zero-failure' policy.
In the FSA's view, such a policy is neither possible, nor desirable.
304. Frage
The CDS rate on a defaultable bond is approximated by which of the following expressions:
Antwort: B
Begründung:
The CDS rate is approximated by the [Loss given default x Default hazard rate]. Thus Choice 'b' is the correct answer.
Note that this is also equal to the credit spread on the reference bond over the risk free rate. Therefore credit spreads and CDS rates are generally the same. Also, 'loss given default' is nothing but (1 - Recovery rate).
This can be substituted in the formula for the credit spread to get an alternative expression that directly refers to the recovery rate. Therefore all other choices are incorrect.
305. Frage
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