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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: Classic Credit Risk | - Credit risk methodology
|
| Topic 2: Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| Topic 3: CVA and DVA | - Valuation adjustments - Measurement and interpretation |
| Topic 4: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 5: Counterparty Risk | - Mitigation techniques (netting, collateral) - Definition and sources of counterparty risk |
| Topic 6: Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Topic 7: Credit Portfolio Management | - Risk concentration and diversification - Portfolio credit risk measurement |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. Which of the following is true in relation to a Contingency Funding Plan (CFP)?
I. A CFP is like a disaster recovery plan to deal with a liquidity crisis II. A CFP should consider market stress conditions, but failures of payment systems are not relevant as they fall under the remit of operational risk III. Reputational damage may result if the market finds out that a firm has had to execute its CFP IV. Sources of emergency funding considered in the CFP should include the role of the central bank as the lender of last resort
A) II and IV
B) I, II and III
C) IV
D) I and III
2. There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that none of the three bonds will default.
A) 0.11%
B) 94%
C) 2%
D) 0.0006%
3. Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):
A) Loss given default
B) Exposure at default
C) Probability of default
D) Effective maturity
4. Which of the following statements is true:
I. When averaging quantiles of two Pareto distributions, the quantiles of the averaged models are equal to the geometric average of the quantiles of the original models based upon the number of data items in each original model.
II. When modeling severity distributions, we can only use distributions which have fewer parameters than the number of datapoints we are modeling from.
III. If an internal loss data based model covers the same risks as a scenario based model, they can can be combined using the weighted average of their parameters.
IV If an internal loss model and a scenario based model address different risks, the models can be combined by taking their sums.
A) III and IV
B) All statements are true
C) II and III
D) I and II
5. Which of the following statements are true:
I. A transition matrix is the probability of a security migrating from one rating class to another during its lifetime.
II. Marginal default probabilities refer to probabilities of default in a particular period, given survival at the beginning of that period.
III. Marginal default probabilities will always be greater than the corresponding cumulative default probability.
IV. Loss given default is generally greater when recovery rates are low.
A) II and IV
B) I, III and IV
C) I and III
D) I and IV
Solutions:
| Question # 1 Answer: D | Question # 2 Answer: B | Question # 3 Answer: C | Question # 4 Answer: B | Question # 5 Answer: A |
