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:

Amax(Actual Loss - Expected Loss, 0)

BActual Loss - Expected Loss

CActual Loss - VaR

DVaR - Expected Loss

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 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

1 months 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

2 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

Lashandra

3 days ago

I think it's B) Actual Loss - Expected Loss, but I see why you chose A.

upvoted 0 times

...

Anjelica

5 days ago

I agree, A) max(Actual Loss - Expected Loss, 0) makes sense to me.

upvoted 0 times

...

Aleta

2 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

Delila

6 days ago

Actually, I think you're right. It's D) VaR - Expected Loss

upvoted 0 times

...

Jennie

12 days ago

I'm pretty sure it's C) Actual Loss - VaR

upvoted 0 times

...

Truman

1 months 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

29 days ago

I agree with you, it's A. max(Actual Loss - Expected Loss, 0)

upvoted 0 times

...

Carma

1 months 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

14 days ago

I think it's D. VaR - Expected Loss

upvoted 0 times

...

Laticia

27 days ago

I'm not sure, but I think it might be C. Actual Loss - VaR

upvoted 0 times

...

Rodolfo

28 days ago

I disagree, I believe the answer is B. Actual Loss - Expected Loss

upvoted 0 times

...

Dannette

2 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

...