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

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

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2 days ago

I think the answer is A) max(Actual Loss - Expected Loss, 0)

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