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PRMIA 8010 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Operational Risk Fundamentals | - Operational risk within enterprise risk management - Risk taxonomy and loss event types - Definition and scope of operational risk |
| Measurement and Quantification | - Key risk indicators (KRIs) - Loss distribution approaches |
| Risk Governance and Frameworks | - Three lines of defense model - Risk governance structures and accountability |
| Risk Identification and Assessment | - Risk and control self-assessment (RCSA) - Scenario analysis and risk mapping |
| Mitigation and Control | - Internal controls and control testing - Risk transfer mechanisms including insurance |
| Regulatory and Industry Standards | - Regulatory expectations for operational risk management - Basel operational risk frameworks |
PRMIA Operational Risk Manager (ORM) Sample Questions:
There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?
- A. 0%
- B. 100%
- C. 25%
- D. 40%
Correct Answer: C 🗳️
Explanation: Only visible for ActualVCE members. You can sign-up / login (it's free).
Pick underlying risk factors for a position in an equity index option:
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option
- A. I, II and III
- B. I and IV
- C. All of the above
- D. II and II
Correct Answer: A 🗳️
Explanation: Only visible for ActualVCE members. You can sign-up / login (it's free).
Which of the following statements is true:
I. When averaging quantiles of two Pareto distributions, the quantiles of theaveraged models are equal to the geometric average of the quantiles of the original models based upon the number of data items in each original model.
II. When modeling severity distributions, we can only use distributions which have fewer parameters thanthe number of datapoints we are modeling from.
III. If an internal loss data based model covers the same risks as a scenario based model, they can can be combined using the weighted average of their parameters.
IV If an internal loss model and a scenario based model address different risks, the models can be combined by taking their sums.
- A. III and IV
- B. II and III
- C. I and II
- D. All statements are true
Correct Answer: D 🗳️
Explanation: Only visible for ActualVCE members. You can sign-up / login (it's free).
Which of the following are considered properties of a 'coherent' risk measure:
I. Monotonicity
II. Homogeneity
III. Translation Invariance
IV. Sub-additivity
- A. I and III
- B. II and III
- C. II and IV
- D. All of theabove
Correct Answer: C 🗳️
Explanation: Only visible for ActualVCE members. You can sign-up / login (it's free).
Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio?
(where p is theportfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.) A)
B)
C)
D)
- A. Option A
- B. Option D
- C. Option C
- D. Option B
Correct Answer: A 🗳️
Explanation: Only visible for ActualVCE members. You can sign-up / login (it's free).
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