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Exam Code: 8010
Exam Name: Operational Risk Manager (ORM) Exam
Updated: May 29, 2026
Q & A: 242 Questions and Answers
8010 Free Demo download
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1. Under the KMV Moody's approach to calculating expectingdefault frequencies (EDF), firms' default on obligations is likely when:
A) asset values reach a level below short term debt
B) asset values reach a level between short term debt and total liabilities
C) expected asset values one year hence are below total liabilities
D) asset values reach a level below totalliabilities
2. If the annual default hazard rate for a borrower is 10%, what is the probability that there is no default at the end of 5 years?
A) 39.35%
B) 59.05%
C) 60.65%
D) 50.00%
3. If E denotes the expected value of a loan portfolio at the end on one year and U the value of the portfolio in the worst case scenario at the 99% confidence level, which of the following expressions correctly describes economic capital requiredin respect of credit risk?
A) U/E
B) E
C) U
D) E - U
4. There are two bonds in a portfolio, each with a marketvalue of $50m. The probability of default of the two bonds over a one year horizon are 0.03 and 0.08 respectively. If the default correlation is zero, what is the one year expected loss on this portfolio?
A) $5.26m
B) $1.38m
C) $5.5m
D) $11m
5. There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?
A) 0%
B) 100%
C) 40%
D) 25%
Solutions:
| Question # 1 Answer: B | Question # 2 Answer: C | Question # 3 Answer: D | Question # 4 Answer: C | Question # 5 Answer: D |
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