Free PRMIA 8010 Exam Questions

Become PRMIA Certified with updated 8010 exam questions and correct answers

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Total 242 Questions | Updated On: Oct 29, 2025

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Question 1

Which of the following is not a limitation of the univariate Gaussian model to capture the codependence structure between risk factros used for VaR calculations?

A : univariate Gaussian model fails to fit to the empirical distributions of risk factors, notably their fat tails and skewness.

B : termining the covariance matrix becomes an extremely difficult task as the number of risk factors increases.

C : cannot capture linear relationships between risk factors.

D : ingle covariance matrix is insufficient to describe the fine codependence structure among risk factors as non-linear dependencies or tail correlations are not captured.

Answer: C

Question 2

Whichof the following statements are true in relation to Historical Simulation VaR?

I. Historical Simulation VaR assumes returns are normally distributed but have fat tails

II. It uses full revaluation, as opposed to delta or delta-gamma approximations

III. Acorrelation matrix is constructed using historical scenarios

IV. It particularly suits new products that may not have a long time series of historical data available

A :

B : and III

C : and IV

D : l of the above

E :

Answer: A

Question 3

A financial institution is considering shedding a business unit to reduce its economic capital requirements. Which of the following is an appropriate measure of theresulting reduction in capital requirements?

A : cremental capital for the business unit in consideration

B : oportionate capital for the business unit in consideration

C : rcentage of total gross income contributed by the business unit in question

D : rginal capital for the business unit in consideration

Answer: A

Question 4

The Options Theoretic approach to calculating economic capital considers the value of capital as being equivalent to a call option with a strike price equal to:

A : notional value ofthe debt

B : market value of the debt

C : value of the firm

D : value of the assets

Answer: A

Question 5

Under the KMV Moody's approach to calculating expectingdefault frequencies (EDF), firms' default on obligations is likely when:

A : pected asset values one year hence are below total liabilities

B : et values reach a level below short term debt

C : et values reach a level below totalliabilities

D : et values reach a level between short term debt and total liabilities

Answer: D

Page: 1 / 49

Total 242 Questions | Updated On: Oct 29, 2025

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