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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Classic Credit Risk Methodology | - Traditional credit analysis
|
| Credit Derivatives and Securitization | - Credit derivatives
|
| Credit Portfolio Management | - Portfolio monitoring
|
| Classic Credit Products and Lifecycle | - Credit lifecycle management
|
| CVA and DVA | - Credit valuation adjustment
|
| Standardized Approach for Counterparty Credit Risk | - Regulatory capital treatment
|
| Management of CVA and DVA | - Operational implementation
|
| Modern Credit Risk Modeling | - Portfolio risk models
|
| Counterparty Risk | - Risk mitigation
|
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
The difference between true severity and the best approximation of the true severity is called:
- A. Fitting error
- B. Estimation error
- C. Total error
- D. Approximation error
Correct Answer: D 🗳️
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The standard error of a Monte Carlo simulation is:
- A. Zero
- B. The same as that for a lognormal distribution
- C. None of the above
- D. Proportional to the inverse of the square root of the sample size
Correct Answer: D 🗳️
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Which of the following cannot be used as an internal credit rating model to assess an individual borrower:
- A. Altman's Z-score
- B. Distance to default model
- C. Logit model
- D. Probit model
Correct Answer: B 🗳️
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Which of the following best describes the concept of marginal VaR of an asset in a portfolio:
- A. Marginal VaR describes the change in total VaR resulting from a $1 change in the value of the asset in question.
- B. Marginal VaR is the change in the VaR estimate for the portfolio as a result of including the asset in the portfolio.
- C. Marginal VaR is the value of the expected losses on occasions where the VaR estimate is exceeded.
- D. Marginal VaR is the contribution of the asset to portfolio VaR in a way that the sum of such calculations for all the assets in the portfolio adds up to the portfolio VaR.
Correct Answer: A 🗳️
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A bullet bond and an amortizing loan are issued at the same time with the same maturity and with the same principal. Which of these would have a greater credit exposure halfway through their life?
- A. The amortizing loan
- B. Indeterminate with the given information
- C. They would have identical exposure half way through their lives
- D. The bullet bond
Correct Answer: D 🗳️
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