PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: CVA and DVA | - Valuation adjustments - Measurement and interpretation |
| Topic 2: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 3: Classic Credit Risk | - Credit risk methodology
|
| Topic 4: Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Topic 5: Counterparty Risk | - Definition and sources of counterparty risk - Mitigation techniques (netting, collateral) |
| Topic 6: Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| Topic 7: Credit Portfolio Management | - Portfolio credit risk measurement - Risk concentration and diversification |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. 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) 60.65%
C) 59.05%
D) 50.00%
2. Which of the following distribution assumptions will produce the lowest probability of exceeding an extreme value, assuming identical means and variances?
A) a normal mixture distribution
B) a normal distribution
C) t-distribution
D) a distribution with kurtosis = 5
3. For a given notional amount, which of the following carries the greatest counterparty exposure (assuming the same counterparty credit rating for each):
A) A one year interest rate swap
B) A one year forward foreign exchange contract
C) A one year certificate of deposit
D) A futures contract on an equity index
4. Which of the following risks and reasons justify the use of scenario analysis in operational risk modeling:
I). Risks for which no internal loss data is available
II). Risks that are foreseeable but have no precedent, internally or externally
III). Risks for which objective assessments can be made by experts
IV). Risks that are known to exist, but for which no reliable external or internal losses can be analyzed
V). Reducing the complexity of having to fit statistical models to internal and external loss data
VI). Managing the capital estimation process as to produce estimates in line with management's desired capital buffers.
A) I, II, III and IV
B) V
C) I, II and III
D) All of the above
5. Which of the following contributed to the systemic failure during the credit crisis that began in 2007?
A) Inadequate attention paid to liquidity risk
B) Moral hazard from the strategy of 'originate and distribute'
C) Stress tests that did not stress enough
D) All of the above
Solutions:
| Question # 1 Answer: B | Question # 2 Answer: B | Question # 3 Answer: C | Question # 4 Answer: A | Question # 5 Answer: D |
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