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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Classic Credit Risk Methodology | - Traditional credit analysis
|
| Counterparty Risk | - Risk mitigation
|
| CVA and DVA | - Debit valuation adjustment
|
| Classic Credit Products and Lifecycle | - Traditional credit products
|
| Standardized Approach for Counterparty Credit Risk | - Regulatory capital treatment
|
| Modern Credit Risk Modeling | - PD/LGD modeling
|
| Credit Portfolio Management | - Risk-adjusted performance
|
| Credit Derivatives and Securitization | - Securitization structures
|
| Management of CVA and DVA | - Operational implementation
|
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. A risk analyst attempting to model the tail of a loss distribution using EVT divides the available dataset into blocks of data, and picks the maximum of each block as a data point to consider.
Which approach is the risk analyst using?
A) Block Maxima approach
B) Expected loss approach
C) Peak-over-thresholds approach
D) Fourier transformation
2. When the volatility of the yield for a bond increases, which of the following statements is true:
A) The VaR for the bond increases and its value stays the same
B) The VaR for the bond increases and its value decreases
C) The VaR for the bond decreases and its value is unaffected
D) The VaR for the bond decreases and its value increases
3. 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) All of the above
C) I and IV
D) I, II and III
4. What is the 1-day VaR at the 99% confidence interval for a cash flow of $10m due in 6 months time? The risk free interest rate is 5% per annum and its annual volatility is 15%. Assume a 250 day year.
A) 1744500
B) 5500
C) 109031
D) 85123
5. For the purposes of calculating VaR, an interest rate swap can be modeled as a combination of:
A) two zero coupon bonds
B) a fixed rate bond and a zero coupon bond
C) a fixed coupon bond and a floating rate note
D) a zero coupon bond and an interest rate swap
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: A | Question # 3 Answer: B | Question # 4 Answer: B | Question # 5 Answer: C |



