Deal of The Day! Hurry Up, Grab the Special Discount - Save 25% - Ends In 00:00:00 Coupon code: SAVE25
Welcome to Pass4Success

- Free Preparation Discussions
Mail Us support@pass4success.com
Location US
Mob_nav_barsMENU

PRMIA Exam 8010 Topic 1 Question 45 Discussion

Actual exam question for PRMIA's 8010 exam
Question #: 45
Topic #: 1
[All 8010 Questions]

The unexpected loss for a credit portfolio at a given VaR estimate is defined as:

Show Suggested Answer Hide 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 Lizbeth at Apr 20, 2024, 01:11 PM

Limited Time Offer

25%

Off

Get Premium 8010 Questions as Interactive Web-Based Practice Test or PDF

Contribute your Thoughts:

Submit Cancel
Catarina
23 days ago
Well, if the unexpected loss is anything like my dating life, it's probably a lot more than the VaR estimate!
upvoted 0 times
...
Samuel
1 months ago
This is a tricky one, but I reckon A. max(Actual Loss - Expected Loss, 0) is the right answer. Gotta love these finance questions!
upvoted 0 times
...
Aleta
1 months ago
Wait, isn't the unexpected loss the difference between VaR and Expected Loss? So, I'm going with D. VaR - Expected Loss.
upvoted 0 times
Jennie
3 days ago
I'm pretty sure it's C) Actual Loss - VaR
upvoted 0 times
...
Truman
29 days ago
No, I believe it's B) Actual Loss - Expected Loss
upvoted 0 times
...
Catarina
1 months ago
I think it's A) max(Actual Loss - Expected Loss, 0)
upvoted 0 times
...
...
Adolph
2 months ago
I'm pretty sure it's C. Actual Loss - VaR. That's how I've always understood Value at Risk.
upvoted 0 times
Ashley
20 days ago
I agree with you, it's A. max(Actual Loss - Expected Loss, 0)
upvoted 0 times
...
Carma
28 days ago
I think it's actually A. max(Actual Loss - Expected Loss, 0)
upvoted 0 times
...
...
Alexia
2 months ago
Hmm, I think the answer is B. Actual Loss - Expected Loss. It just makes sense logically.
upvoted 0 times
Mitsue
5 days ago
I think it's D. VaR - Expected Loss
upvoted 0 times
...
Laticia
18 days ago
I'm not sure, but I think it might be C. Actual Loss - VaR
upvoted 0 times
...
Rodolfo
19 days ago
I disagree, I believe the answer is B. Actual Loss - Expected Loss
upvoted 0 times
...
Dannette
1 months ago
I think the answer is A. max(Actual Loss - Expected Loss, 0)
upvoted 0 times
...
...
Alberta
2 months ago
But doesn't VaR estimate the potential loss? So shouldn't it be D) VaR - Expected Loss?
upvoted 0 times
...
Yuki
2 months ago
I disagree, I believe the answer is B) Actual Loss - Expected Loss
upvoted 0 times
...
Alberta
2 months ago
I think the answer is A) max(Actual Loss - Expected Loss, 0)
upvoted 0 times
...

Save Cancel