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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Modern Credit Risk Modeling | - Portfolio risk models
|
| CVA and DVA | - Credit valuation adjustment
|
| Counterparty Risk | - Counterparty exposure
|
| Management of CVA and DVA | - CVA management techniques
|
| Standardized Approach for Counterparty Credit Risk | - SA-CCR framework
|
| Credit Portfolio Management | - Risk-adjusted performance
|
| Classic Credit Risk Methodology | - Traditional credit analysis
|
| Credit Derivatives and Securitization | - Credit derivatives
|
| Classic Credit Products and Lifecycle | - Credit lifecycle management
|
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. Which of the following statements are true:
I. Stress tests should consider simultaneous pressures in funding and asset markets, and the impact of a reduction in liquidity II. Judging the effectiveness of risk mitigation techniques is not a part of stress testing III. A reverse stress test is useful for discovering hidden vulnerabilities and inconsistencies in hedging strategies IV. Reputational risk, which is explicitly excluded from the definition of operational risk under Basel II, should still be considered as part of stress tests.
A) I and III
B) II and IV
C) I, III and IV
D) All of the above
2. 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) Fourier transformation
B) Peak-over-thresholds approach
C) Expected loss approach
D) Block Maxima approach
3. A cumulative accuracy plot:
A) is a measure of the correctness of VaR calculations
B) measures the accuracy of credit risk estimates
C) measures rating accuracy
D) measures accuracy of default probabilities observed empirically
4. If the loss given default is denoted by L, and the recovery rate by R, then which of the following represents the relationship between loss given default and the recovery rate?
A) R = 1 - L
B) R = 1 + L
C) L = 1 + R
D) R = 1 / L
5. Which of the following best describes a 'break clause ?
A) A break clause sets out the conditions under which the transaction will be terminated upon non- compliance with the ISDA MA
B) A break clause describes rights and obligations when the derivative contract is broken
C) A break clause gives either party to a transaction the right to terminate the transaction at market price at future date(s)
D) A break clause determines the process by which amounts due on early termination will be determined
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: D | Question # 3 Answer: C | Question # 4 Answer: A | Question # 5 Answer: C |




