Free 8010 Exam Questions - PRMIA 8010 Exam

A stock that follows the Weiner process has its future price determined by:

Which of the following situations are not suitable for applying parametric VaR:

1. Where the portfolio's valuation is linearly dependent upon risk factors

2. Where the portfolio consists of non-linear products such as options and large moves are involved

3. Where the returns of risk factors are known to be not normally distributed

The sensitivity (delta) of a portfolio to a single point move in the value of the S&P500 is $100. If the current level of the S&P500 is 2000, and has a one day volatility of 1%, what is the value-at-risk for this portfolio at the 99% confidence and a horizon of 10 days? What is this method of calculating VaR called?

Pick underlying risk factors for a position in an equity index option:

1. Spot value for the index

2. Risk free interest rate

3. Volatility of the underlying

4. Strike price for the option

Which of the following decisions need to be made as part of laying down a system for calculating VaR:

1. How returns are calculated, eg absoluted returns, log returns or relative/percentage returns

2. Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically

3. Whether binary/digital options are included in the portfolio positions

4. How volatility is estimated