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PRMIA 8008 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Market Risk | 15% | - Value-at-Risk (VaR) & Stress Testing - Market Risk Factors & Drivers - Regulatory Capital for Market Risk - Interest Rate, Equity, FX & Commodity Risk |
| Topic 2: Counterparty Risk | 15% | - Netting, Collateral & Margining - Credit Value Adjustment (CVA) & Wrong-way Risk - Counterparty Credit Risk Fundamentals - Potential Future Exposure |
| Topic 3: Credit Risk | 20% | - Credit Risk Modeling & Capital Calculation - Exposure & Probability of Default - Loss Given Default & Credit Valuation Adjustment - Credit Risk Concepts |
| Topic 4: ALM & FTP | 10% | - Funds Transfer Pricing Methodology & Application - Liquidity Risk Management - Interest Rate Risk in the Banking Book - Asset-Liability Management Principles |
| Topic 5: Operational Risk | 20% | - Capital Requirements & Advanced Measurement Approaches - Risk Identification & Assessment - Control & Mitigation Techniques - Definition & Scope |
| Topic 6: Risk Management Frameworks | 20% | - Enterprise Risk Management Principles - Risk Governance & Culture - Risk Measurement Methodologies - Regulatory Frameworks & Basel Accords |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
1. A risk analyst uses the GARCH model to forecast volatility, and the parameters he uses are = 0.001%, = 0.05 and = 0.93. Yesterday's daily volatility was calculated to be 1%. What is the long term annual volatility under the analyst's model?
A) 7.94 %
B) 0.22 %
C) 0.25 %
D) 3.54 %
2. Which of the following statements is a correct description of the phrase present value of a basis point?
A) It refers to the discounted present value of 1/100th of 1% of a future cash flow
B) It refers to the present value impact of 1 basis point move in an interest rate on a fixed income security
C) It is another name for duration
D) It is the principal component representation of the duration of a bond
3. For credit risk calculations, correlation between the asset values of two issuers is often proxied with:
A) Default correlations
B) Equity correlations
C) Transition probabilities
D) Credit migration matrices
4. Which of the following cannot be used to address the issue of heavy tails when modeling market returns
A) EVT
B) Normal mixtures
C) Student's t-distribution
D) EWMA
5. Calculate the 1-year 99% credit VaR of a portfolio of two bonds, each with a value of $1m, and the probability of default of 1% each over the next year. Assume the recovery rate to be zero, and the defaults of the two bonds to be uncorrelated to each other.
A) 0
B) 20000
C) 1980000
D) 980000
Solutions:
| Question # 1 Answer: D | Question # 2 Answer: B | Question # 3 Answer: B | Question # 4 Answer: D | Question # 5 Answer: D |




