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PRMIA 8011 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Credit Valuation Adjustment (CVA) and Related Topics | 17% | - XVA and SA-CCR - Credit Valuation Adjustment (CVA) - Managing Counterparty Risk and CVA |
| Topic 2: Credit Derivatives and Securitization | 13% | - Securitization Processes and Instruments - Credit Derivatives |
| Topic 3: Case Studies | 7% | |
| Topic 4: Counterparty Risk and Risk Mitigation | 13% | - Basics of Counterparty Risk - Risk Mitigation Techniques |
| Topic 5: Credit Risk Modeling and Portfolio Management | 20% | - Credit Portfolio Management - Modern Credit Risk Modeling |
| Topic 6: Classic Credit Products, Life Cycle and Credit Risk Methodology | 30% | - Introduction to Credit Risk - Classic Credit Risk Methodology - Classic Credit Products |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
If A and B be two uncorrelated securities, VaR(A) and VaR(B) be their values-at-risk, then which of the following is true for a portfolio that includes A and B in any proportion. Assume the prices of A and B are log- normally distributed.
- A. The combined VaR cannot be predicted till the correlation is known
- B. VaR(A+B) < VaR(A) + VaR(B)
- C. VaR(A+B) > VaR(A) + VaR(B)
- D. VaR(A+B) = VaR(A) + VaR(B)
Correct Answer: B 🗳️
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Under the CreditPortfolio View approach to credit risk modeling, which of the following bestdescribes the conditional transition matrix:
- A. The conditional transition matrix is the transition matrix adjusted for the distribution of the firms' asset returns
- B. The conditional transition matrix is the unconditional transition matrix adjusted for the state of the economy and other macro economic factors being modeled
- C. The conditional transition matrix is the transition matrix adjusted for the risk horizon being different from that of the transition matrix
- D. The conditional transition matrix is the unconditional transition matrix adjusted for probabilities of defaults
Correct Answer: B 🗳️
Explanation: Only visible for TestValid members. You can sign-up / login (it's free).
A risk management function is best organized as:
- A. report independently of the risk taking functions
- B. integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of the organization.
- C. reporting directly to the traders, as to be closest to the point at which risks are being taken
- D. a part of the trading desks and other risk taking teams
Correct Answer: A 🗳️
Explanation: Only visible for TestValid members. You can sign-up / login (it's free).
Which of the following is a most complete measure of the liquidity gap facing a firm?
- A. Residual liquidity gap
- B. Marginal liquidity gap
- C. Cumulative liquidity gap
- D. Liquidity at Risk
Correct Answer: A 🗳️
Explanation: Only visible for TestValid members. You can sign-up / login (it's free).
In respect of operational risk capital calculations, the Basel II accord recommends a confidence level and time horizon of:
- A. 99.9% confidence level over a 10 day time horizon
- B. 99% confidence level over a 10 year time horizon
- C. 99.9% confidence level over a 1 year time horizon
- D. 99% confidence level over a 1 year time horizon
Correct Answer: C 🗳️
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