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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: Classic Credit Risk | - Credit risk methodology
|
| Topic 2: Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Topic 3: Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| Topic 4: Credit Portfolio Management | - Risk concentration and diversification - Portfolio credit risk measurement |
| Topic 5: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 6: CVA and DVA | - Measurement and interpretation - Valuation adjustments |
| Topic 7: Counterparty Risk | - Definition and sources of counterparty risk - Mitigation techniques (netting, collateral) |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
Question 1
Which of the following objectives are targeted by rating agencies when assigning ratings:
I. Ratings accuracy
II. Ratings stability
III. High accuracy ratio (AR)
IV. Ranked ratings
A. II and III
B. I and II
C. III and IV
D. I, II and III
Question 2
If the 99% VaR of a portfolio is $82,000, what is the value of a single standard deviation move in the portfolio?
A. 50000
B. 82000
C. 134480
D. 35248
Question 3
Which of the following statements are true with respect to stress testing:
I. Stress testing results in a dollar estimate of losses
II. The results of stress testing can replace VaR as a measure of risk as they are better grounded in reality III. Stress testing provides an estimate of losses at a desired level of confidence IV. Stress testing based on factor shocks can allow modeling extreme events that have not occurred in the past
A. II and III
B. I, II and IV
C. II, III and IV
D. I and IV
Question 4
An assumption of normality when returns data have fat tails leads to:
I. underestimation of VaR at high confidence levels
II. overestimation of VaR at low confidence levels
III. overestimation of VaR at high confidence levels
IV. underestimation of VaR at low confidence levels
A. I, II, III and IV
B. I and II
C. I, II and III
D. II, III and IV
Question 5
Which of the following statements are true:
I. The sum of unexpected losses for individual loans in a portfolio is equal to the total unexpected loss for the portfolio.
II. The sum of unexpected losses for individual loans in a portfolio is less than the total unexpected loss for the portfolio.
III. The sum of unexpected losses for individual loans in a portfolio is greater than the total unexpected loss for the portfolio.
IV. The unexpected loss for the portfolio is driven by the unexpected losses of the individual loans in the portfolio and the default correlation between these loans.
A. II and IV
B. I and II
C. III and IV
D. I, II and III
Solutions:
| Question 1 Answer: B | Question 2 Answer: D | Question 3 Answer: D | Question 4 Answer: B | Question 5 Answer: C |
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