السمنة عند الأطفال (Obesity in children) - اكاديمية اجنحة المعرفة

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PRMIA 8011：クレジットおよびカウンターパーティマネージャー（CCRM）証明書試験は、クレジットおよびカウンターパーティリスク管理に強い関心を持つ専門家を対象とした認定プログラムです。このプログラムは、信用リスク管理の原則と実践、およびカウンターパーティリスクの管理に使用されるさまざまなツールとテクニックを包括的に理解するように設計されています。

PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam 認定 8011 試験問題 (Q328-Q333):

質問 # 328
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.

A. II and IV
B. I, II and IV
C. III and IV
D. II and III

正解：D

解説：
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.

質問 # 329
Which of the following statements are true:
I. A high score according to Altman's Z-Score methodology indicates a lower default risk II. A high score according to the Probit or Logit models indicates a higher default risk III. A high score according to Altman's Z-Score methodology indicates a higher default risk IV. A high score according to the Probit or Logit models indicates a lower default risk

A. I and II
B. III and IV
C. II and III
D. I and IV

正解：A

解説：
A high score under the probit and logit models indicates a higher default risk, while under Altman's methodology it indicates a lower default risk. Therefore Choice 'd' is the correct answer.

質問 # 330
Which of the following is a cause of model risk in risk management?

A. All of the above
B. Misspecification of the model
C. Incorrect parameter estimation
D. Programming errors

正解：A

解説：
Model risk is the risk that a model built for estimating a variable will produce erroneous estimates. Model risk is caused by a number of factors, including:
a) Misspecifying the model: For example, using a normal distribution when it is not justified.
b) Model misuse: For example, using a model built to estimate bond prices to estimate equity prices c) Parameter estimation errors: In particular, parameters that are subjectively determined can be subject to significant parameter estimation errors d) Programming errors: Errors in coding the model as part of computer implementation may not be detected by end users e) Data errors: Errors in data used for building the model may also introduce model risk Therefore the correct answer is d, as all the choices are a source of model risk.

質問 # 331
Which of the following is a valid approach to determining the magnitude of a shock for a given risk factor as part of a historical stress testing exercise?
I. Determine the maximum peak-to-trough change in the risk factor over the defined period of the historical event II. Determine the minimum peak-to-trough change in the risk factor over the defined period of the historical event III. Determine the total change in the risk factor between the start date and the finish date of the event regardless of peaks and troughs in between IV. Determine the maximum single day change in the risk factor and multiply by the number of days covered by the stress event

A. II and IV
B. I, II and IV
C. IV only
D. I and III

正解：D

解説：
Stress events rarely play out in a well defined period of time, and looking back it is always difficult to put exact start and end dates on historical stress events. Even after that is done, the question arises as to what magnitude of a change in a particular risk factor (for example interest rates, spreads, or exchange rates) are reasonable to consider for the purposes of the stress test.
Statements I and III correctly identify the two approaches that are acceptable and used in practice - the risk manager can either take the maximum adverse move - from peak to trough - in the risk factor, or alternatively he or she could consider the change in the risk factor from the start of the event to the end as defined for the purposes of the stress test. Between the two, the approach mentioned in statement III is considered slightly superior as it produces more believable shocks.
Statement II is incorrect because we never want to consider the minimum, and statement IV is not correct as it is likely to generate a shock of a magnitude that is not plausible. Therefore Choice 'b' is the correct answer.

質問 # 332
Which of the following is closest to the description of a 'risk functional'?

A. A risk functional is the distribution that models the severity of a risk
B. Risk functional refers to the Kolmogorov-Smirnov distance
C. A risk functional assigns a penalty value for the difference between a model distribution and a risk's severity distribution
D. A risk functional is a model distribution that is an approximation of the true loss distribution of a risk

正解：C

解説：
For operational risk modeling, both frequency and severity distributions need to be modeled. Modeling severity involves finding an analytical distribution, such as log-normal or other that approximates the distribution best represented by known data - whether from the internal loss database, the external loss database or scenario data. A 'risk functional' is a measure of the deviation of the model distribution from the risk's actual severity distribution. It assigns a penalty value for the deviation, using a statistical measure, such as the KS distance (Kolmogorov-Smirnov distance).
The problem of finding the right distribution then becomes the problem of optimizing the risk functional. For example, if F is the model distribution, and G is the actual, or empirical severity distribution, and we are using the KS test, then the Risk Functional R is defined as follows:
A diagram of a function Description automatically generated with medium confidence

Note that supx stands for 'supremum', which is a more technical way of saying 'maximum'. In other words, we are calculating the maximum absolute KS distance between the two distributions. (Note that the KS distance is the max of the distance between identical percentiles of the two distributions using the CDFs of the two.) Once the risk functional is identified, we can minimize it to determine the best fitting distribution for severity.

質問 # 333
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8011基礎問題集: https://www.certjuken.com/8011-exam.html