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PRMIA 8011 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Classic Credit Products, Life Cycle and Credit Risk Methodology | 30% | - Classic Credit Risk Methodology - Classic Credit Products - Introduction to Credit Risk |
| Credit Risk Modeling and Portfolio Management | 20% | - Credit Portfolio Management - Modern Credit Risk Modeling |
| Credit Derivatives and Securitization | 13% | - Securitization Processes and Instruments - Credit Derivatives |
| Case Studies | 7% | |
| Counterparty Risk and Risk Mitigation | 13% | - Basics of Counterparty Risk - Risk Mitigation Techniques |
| Credit Valuation Adjustment (CVA) and Related Topics | 17% | - Credit Valuation Adjustment (CVA) - Managing Counterparty Risk and CVA - XVA and SA-CCR |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. If A and B be two uncorrelated securities, VaR(A) and VaR(B) be their values-at-risk, then which of the following is true for a portfolio that includes A and B in any proportion. Assume the prices of A and B are log- normally distributed.
A) The combined VaR cannot be predicted till the correlation is known
B) VaR(A+B) = VaR(A) + VaR(B)
C) VaR(A+B) < VaR(A) + VaR(B)
D) VaR(A+B) > VaR(A) + VaR(B)
2. Which of the following statements is true in relation to the Supervisory Capital Assessment Program (SCAP):
I. The SCAP is an annual exercise conducted by the Treasury Department to determine the health of key financial institutions in the US economy II. The SCAP was essentially a stress test where the stress scenarios were specified by the regulators III. Capital buffers calculated under the SCAP represented the amount of capital that the institutions covered by SCAP held in excess of Basel II requirements IV. The SCAP focused on both total Tier 1 capital as well as Tier 1 common capital
A) II and IV
B) I and III
C) I, II and IV
D) I and III
3. Which of the following are true:
I. Delta hedges need to be rebalanced frequently as deltas fluctuate with fluctuating prices.
II. Portfolio managers are right to focus on primary risks over secondary risks.
III. Increasing the hedge rebalance frequency reduces residual risks but increases transaction costs.
IV. Vega risk can be hedged using options.
A) I and II
B) I, II and III
C) II, III and IV
D) I, II, III and IV
4. What is the annualized steady state volatility under a GARCH model where alpha is 0.1, beta is 0.8 and omega is 0.00025?
A) 0.05
B) 0.0025
C) 0.08
D) 0.1
5. If the annual variance for a portfolio is 0.0256, what is the daily volatility assuming there are 250 days in a year.
A) 0.4048
B) 0.0006
C) 0.0101
D) 0.0016
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: A | Question # 3 Answer: D | Question # 4 Answer: A | Question # 5 Answer: C |
