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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Classic Credit Risk | - Credit products and lifecycle
|
| Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| Counterparty Risk | - Mitigation techniques (netting, collateral) - Definition and sources of counterparty risk |
| SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Credit Portfolio Management | - Portfolio credit risk measurement - Risk concentration and diversification |
| CVA and DVA | - Valuation adjustments - Measurement and interpretation |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. Under the ISDA MA, which of the following terms best describes the netting applied upon the bankruptcy of a party?
A) Payment netting
B) Closeout netting
C) Multilateral netting
D) Chapter 11
2. Which of the following represents a riskier exposure for a bank: A LIBOR based loan, or an Overnight Indexed Swap? Which of the two rates is expected to be higher?
Assume the same counterparty and the same notional.
A) A LIBOR based loan; OIS rate will be higher
B) A LIBOR based loan; LIBOR rate will be higher
C) Overnight Index Swap; LIBOR rate will be higher
D) Overnight Index Swap; OIS rate will be higher
3. The cumulative probability of default for a security for 4 years is 11.47%. The marginal probability of default for the security for year 5 is 5% during year 5. What is the cumulative probability of default for the security for 5 years?
A) 16.47%
B) 5.00%
C) 15.90%
D) None of the above
4. A risk management function is best organized as:
A) report independently of the risk taking functions
B) reporting directly to the traders, as to be closest to the point at which risks are being taken
C) a part of the trading desks and other risk taking teams
D) integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of the organization.
5. Financial institutions need to take volatility clustering into account:
I. To avoid taking on an undesirable level of risk
II. To know the right level of capital they need to hold
III. To meet regulatory requirements
IV. To account for mean reversion in returns
A) II, III and IV
B) I & II
C) I, II and III
D) I, II and IV
Solutions:
| Question # 1 Answer: B | Question # 2 Answer: B | Question # 3 Answer: C | Question # 4 Answer: A | Question # 5 Answer: B |




