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PRMIA Exam 8010 Topic 11 Question 66 Discussion

Actual exam question for PRMIA's 8010 exam
Question #: 66
Topic #: 11
[All 8010 Questions]

Which of the following is not a measure of risk sensitivity of some kind?

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Suggested Answer: B

Volatility clustering leads to levels of current volatility that can be significantly different from long run averages. When volatility is running high, institutions need to shed risk, and when it is running low, they can afford to increase returns by taking on more risk for a given amount of capital. An institution's response to changes in volatility can be either to adjust risk, or capital, or both. Accounting for volatility clustering helps institutions manage their risk and capital and therefore statements I and II are correct.

Regulatory requirements do not require volatility clustering to be taken into account (at least not yet). Therefore statement III is not correct, and neither is IV which is completely unrelated to volatility clustering.


Contribute your Thoughts:

Adolph
3 days ago
PL01? Sounds like something from a sci-fi movie. Definitely not a risk measure.
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Anna
10 days ago
Hmm, I see your point. Let's discuss further to figure out the correct answer.
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Paz
12 days ago
Hmm, I thought Delta was a measure of risk sensitivity. Tricky one!
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Pearly
14 days ago
I disagree, I believe the answer is A) PL01.
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Anna
18 days ago
I think the answer is D) Delta.
upvoted 0 times
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