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PRMIA Exam 8010 Topic 5 Question 62 Discussion

Actual exam question for PRMIA's 8010 exam
Question #: 62
Topic #: 5
[All 8010 Questions]

Under the CreditPortfolio View approach to credit risk modeling, which of the following best describes the conditional transition matrix:

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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 Farrah at Oct 22, 2024, 12:23 PM

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Chu
1 days ago
Hmm, I'm not too sure about this one. I was thinking the answer might be B, but now I'm second-guessing myself. Guess I need to study my credit risk modeling a bit more.
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Antonio
8 days ago
Hmm, that's an interesting perspective. I can see how that could also be a valid interpretation.
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Yuette
9 days ago
I think the correct answer is D. The conditional transition matrix is the transition matrix adjusted for the distribution of the firms' asset returns. This makes sense because credit risk is closely tied to the value of the firm's assets.
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Ruthann
13 days ago
I disagree, I believe it is adjusted for the distribution of the firms' asset returns.
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Antonio
14 days ago
I think the conditional transition matrix is the unconditional transition matrix adjusted for the state of the economy.
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