PRMIA 8010 Exam - Topic 1 Question 41 Discussion

Actual exam question for PRMIA's 8010 exam

Question #: 41
Topic #: 1

Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio? (where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.)

AOption A

BOption B

COption C

DOption D

Show Suggested Answer

Suggested Answer: C

For EVT, we use the block maxima or the peaks-over-threshold methods. These provide us the data points that can be fitted to a GEV distribution.

Least squares and maximum likelihood are methods that are used for curve fitting, and they have a variety of applications across risk management.

by Simona at Feb 12, 2024, 12:46 AM

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Aleta

7 months ago

I feel like D could be a contender too, though.

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Golda

8 months ago

I’m surprised this is even a question, isn’t it obvious?

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Margurite

8 months ago

Wait, are we sure about that? I thought it was C.

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Barney

8 months ago

Totally agree, B makes the most sense!

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Gabriele

8 months ago

I think Option B is the right choice for incremental VaR.

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Felicidad

9 months ago

I’m leaning towards Option A, but I remember there was some confusion about the notation. I hope I’m not mixing it up with another concept!

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Therese

9 months ago

I feel like Option B looks familiar, but I can't recall the exact details. Did we cover how to derive it in class?

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Lanie

9 months ago

I remember practicing a similar question where we had to calculate the impact of adding a new asset. I think it might be Option C, but I need to double-check.

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Micah

9 months ago

I think incremental VaR is related to how the new position affects the overall risk, but I'm not sure which formula captures that best.

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Vesta

9 months ago

I'm feeling pretty confident about this one. The formula that describes incremental VaR when adding a new position 'm' to the portfolio is option B. The others don't seem to capture the right relationship.

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Delila

9 months ago

Okay, I think I've got this. The key is to focus on how the new position 'm' is incorporated into the portfolio VaR calculation. Let me double-check the formulas and see which one makes the most sense.

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Kenia

9 months ago

Hmm, I'm a bit confused by the different formulas here. I'll need to make sure I understand the concept of incremental VaR before I can confidently select the right answer.

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Alita

9 months ago

This looks like a tricky question on incremental VaR. I'll need to carefully review the formulas and think through the logic to determine which one is correct.

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Franklyn

9 months ago

This is a good test of my understanding of VaR. I'll need to carefully work through each formula and think about how the new position impacts the overall portfolio risk. Gotta make sure I get this right.

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Lottie

9 months ago

I'm not entirely sure about this one. The question mentions using the original quantity and price from a sales order, but a margin alert doesn't seem like the obvious solution. I'll need to review the Dynamics 365 functionality more closely.

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Jaclyn

9 months ago

I'm a bit confused by the different queues mentioned - typing, merging, parsing, input. I'll need to make sure I understand how those fit into the indexing process before I can confidently answer this.

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