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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Modern Credit Risk Modeling | - Portfolio risk models
|
| CVA and DVA | - Credit valuation adjustment
|
| Standardized Approach for Counterparty Credit Risk | - Regulatory capital treatment
|
| Management of CVA and DVA | - CVA management techniques
|
| Credit Portfolio Management | - Risk-adjusted performance
|
| Counterparty Risk | - Counterparty exposure
|
| Classic Credit Products and Lifecycle | - Traditional credit products
|
| Credit Derivatives and Securitization | - Credit derivatives
|
| Classic Credit Risk Methodology | - Risk management practices
|
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. The VaR of a portfolio at the 99% confidence level is $250,000 when mean return is assumed to be zero. If the assumption of zero returns is changed to an assumption of returns of $10,000, what is the revised VaR?
A) 226740
B) 260000
C) 273260
D) 240000
2. Which of the following statements is true?
I. It is sufficient to ensure that a parent entity has sufficient excess liquidity to cover a liquidity shortfall for a subsidiary.
II. If a parent entity has a shortfall of liquidity, it can always rely upon any excess liquidity that its foreign subsidiaries might have.
III. Wholesale funding sources for a bank refer to stable sources of funding provided by the central bank.
IV. Funding diversification refers to diversification of both funding sources and funding tenors.
A) I and IV
B) I and III
C) IV
D) III and IV
3. Which of the following are valid approaches to calculating potential future exposure (PFE) for counterparty risk:
I. Add a percentage of the notional to the mark-to-market value
II. Monte Carlo simulation
III. Maximum Likelihood Estimation
IV. Parametric Estimation
A) All of the able
B) I and II
C) III and IV
D) I, III and IV
4. For a FX forward contract, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)
A) At maturity
B) Right after inception
C) Roughly three-quarters of the way towards maturity
D) Indeterminate from the given information
5. The backtesting of VaR estimates under the Basel accord requires comparing the ex-ante VaR to:
A) ex-ante VaR calculated for the subsequent periods
B) realized profit and loss for the period
C) the Basel accord does not require banks to backtest VaR estimates
D) hypothetical profit and loss keeping the positions constant
Solutions:
| Question # 1 Answer: D | Question # 2 Answer: C | Question # 3 Answer: B | Question # 4 Answer: A | Question # 5 Answer: B |




