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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Classic Credit Risk | - Credit risk methodology
|
| Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| CVA and DVA | - Valuation adjustments - Measurement and interpretation |
| SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Counterparty Risk | - Mitigation techniques (netting, collateral) - Definition and sources of counterparty risk |
| Credit Portfolio Management | - Risk concentration and diversification - Portfolio credit risk measurement |
| Credit Derivatives and Securitization | - Credit derivatives instruments - Securitization structures and process |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
Question 1
Which of the following are true:
I. The total of the component VaRs for all components of a portfolio equals the portfolio VaR.
II. The total of the incremental VaRs for each position in a portfolio equals the portfolio VaR.
III. Marginal VaR and incremental VaR are identical for a $1 change in the portfolio.
IV. The VaR for individual components of a portfolio is sub-additive, ie the portfolio VaR is less than (or in extreme cases equal to) the sum of the individual VaRs.
V. The component VaR for individual components of a portfolio is sub-additive, ie the portfolio VaR is less than the sum of the individual component VaRs.
A. II and IV
B. II and V
C. I, III and IV
D. I and II
Question 2
A risk analyst analyzing the positions for a proprietary trading desk determines that the combined annual variance of the desk's positions is 0.16. The value of the portfolio is $240m. What is the 10-day stand alone VaR in dollars for the desk at a confidence level of 95%? Assume 250 trading days in a year.
A. 6297600
B. 157440000
C. 31488000
D. 12595200
Question 3
Which of the following statements is true:
I. If the sum of its parameters is less than one, GARCH is a mean reverting model of volatility, while EWMA is never mean reverting II. Standardized returns under both EWMA and GARCH show less non-normality than non standardized returns III. Steady state variance under GARCH is affected only by the persistence coefficient IV. Good risk measures are always sub-additive
A. I & II
B. I, II and IV
C. I, II and III
D. II, III and IV
Question 4
Which of the following are valid methods for selecting an appropriate model from the model space for severity estimation:
I. Cross-validation method
II. Bootstrap method
III. Complexity penalty method
IV. Maximum likelihood estimation method
A. II and III
B. I, II and III
C. All of the above
D. I and IV
Question 5
Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
A. The contingent claims approach
B. CreditPortfolio View
C. The CreditMetrics approach
D. The actuarial approach
Solutions:
| Question 1 Answer: C | Question 2 Answer: C | Question 3 Answer: B | Question 4 Answer: C | Question 5 Answer: D |
