Exit 8008 PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
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Q1 Single choice

When combining separate bottom up estimates of market, credit and operational risk measures, a most conservative economic capital estimate results from which of the following assumptions:

  • A

    Assuming that the resulting distributions have a correlation between 0 and 1

  • B

    Assuming that market, credit and operational risk estimates are perfectly positively correlated

  • C

    Assuming that market, credit and operational risk estimates are perfectly negatively correlated

  • D

    Assuming that market, credit and operational risk estimates are uncorrelated

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