PRMIA Exam 8010 Topic 8 Question 65 Discussion

Actual exam question for PRMIA's 8010 exam

Question #: 65
Topic #: 8

[All 8010 Questions]

Which of the following credit risk models relies upon the analysis of credit rating migrations to assess credit risk?

AKMV's EDF based approach

BThe CreditMetrics approach

CThe actuarial approach

DThe contingent claims approach

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 Mireya at Jan 09, 2025, 05:49 PM

Limited Time Offer

25%

Off

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

Contribute your Thoughts:

Submit Cancel

Catalina

11 days ago

The contingent claims approach? More like the 'contingent on me passing this exam' approach!

upvoted 0 times

...

Luisa

19 days ago

KMV's EDF based approach? That's like the Michael Keaton of credit risk models - good, but not the best.

upvoted 0 times

...

1 months ago

The CreditMetrics approach sounds like the right answer here. It's all about analyzing credit rating migrations to assess credit risk.

upvoted 0 times

Estrella

2 days ago

The actuarial approach may not rely heavily on credit rating migrations.

upvoted 0 times

...

Marisha

3 days ago

I think KMV's EDF based approach also considers credit rating migrations.

upvoted 0 times

...

Ashton

16 days ago

I agree, the CreditMetrics approach is focused on credit rating migrations.

upvoted 0 times

...

Mica

1 months ago

I think the answer is A) KMV's EDF based approach.

upvoted 0 times

...