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PRMIA 8008 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Funds Transfer Pricing (FTP) | - FTP Implementation and Governance - FTP Framework and Methodologies |
| Market Risk | - Market Risk Models and VAR - Market Risk Measurement Techniques |
| Credit Risk | - Credit Risk Analysis and Measurement - Credit Risk Mitigation and Management |
| Counterparty Risk | - Counterparty Exposure and Collateral Management - Pre-Settlement and Settlement Risk |
| Operational Risk | - Operational Risk Measurement and Controls - Operational Risk Identification and Assessment |
| Risk Management Frameworks | - Enterprise Risk Management Principles - Governance and Risk Culture |
| Asset-Liability Management (ALM) | - Liquidity and Funding Risk Management - Interest Rate Risk in the Banking Book |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
1. Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
A) The contingent claims approach
B) The actuarial approach
C) CreditPortfolio View
D) The CreditMetrics approach
2. 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) VaR(A+B) > VaR(A) + VaR(B)
B) VaR(A+B) < VaR(A) + VaR(B)
C) VaR(A+B) = VaR(A) + VaR(B)
D) The combined VaR cannot be predicted till the correlation is known
3. Which of the following statements are true in relation to Monte Carlo based VaR calculations:
I. Monte Carlo VaR relies upon a full revalution of the portfolio for each simulation II. Monte Carlo VaR relies upon the delta or delta-gamma approximation for valuation III. Monte Carlo VaR can capture a wide range of distributional assumptions for asset returns IV. Monte Carlo VaR is less compute intensive than Historical VaR
A) II and IV
B) I and III
C) I, III and IV
D) All of the above
4. When estimating the risk of a portfolio of equities using the portfolio's beta, which of the following is NOT true:
A) using the beta significantly eases the computational burden of calculating risk
B) use of the beta assumes that the portfolio is diversified enough so that the specific risks of the individual stocks offset each other
C) relies upon the single factor CAPM model
D) explicitly considers specific risk inherent in the portfolio for risk calculations
5. Pick underlying risk factors for a position in an equity index option:
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option
A) I and IV
B) I, II and III
C) II and II
D) All of the above
Solutions:
| Question # 1 Answer: B | Question # 2 Answer: B | Question # 3 Answer: B | Question # 4 Answer: D | Question # 5 Answer: B |






