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PRMIA Operational Risk Manager (ORM) Sample Questions:
1. Changes in which of the following do not affect the expected default frequencies (EDF) under the KMV Moody's approach to credit risk?
A) Changes in the risk free rate
B) Changes in asset volatility
C) Changes in the firm's market capitalization
D) Changes in the debt level
2. All else remaining the same, an increase in the joint probability of default between two obligors causes the default correlation between the two to:
A) Decrease
B) Increase
C) Cannot be determined from the given information
D) Stay the same
3. When considering a request for a loan from a retail customer, which of the following factors is relevant for a bank to consider:
A) The contribution this new loan would bring to total portfolio risk
B) All of the above
C) The other retail loans inits portfolio
D) The credit worthiness of the retail customer
4. Which of the following belong in a credit risk report?
A) Exposures by industry
B) Largest exposures by counterparty
C) All of the above
D) Exposures by country
5. For a bank using the advanced measurement approach to measuring operational risk, which of the following brings the greatest 'model risk' to its estimates:
A) Choice of incorrect parameters for loss severity distributions
B) Aggregation risk, from selecting an incorrect value of estimated correlations between different operational risk estimates
C) Choice of an incorrect distribution for loss event frequencies
D) Insufficient number of simulations when building the loss distribution
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: B | Question # 3 Answer: B | Question # 4 Answer: C | Question # 5 Answer: B |






