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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: Credit Portfolio Management | - Portfolio credit risk measurement - Risk concentration and diversification |
| Topic 2: Counterparty Risk | - Definition and sources of counterparty risk - Mitigation techniques (netting, collateral) |
| Topic 3: CVA and DVA | - Measurement and interpretation - Valuation adjustments |
| Topic 4: Modern Credit Risk Modeling | - Credit VaR and loss distribution simulation - PD/LGD modeling frameworks |
| Topic 5: Classic Credit Risk | - Credit risk methodology
|
| Topic 6: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 7: Credit Derivatives and Securitization | - Credit derivatives instruments - Securitization structures and process |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. If the full notional value of a debt portfolio is $100m, its expected value in a year is $85m, and the worst value of the portfolio in one year's time at 99% confidence level is $60m, then what is the credit VaR?
A) $15m
B) $60m
C) $25m
D) $40m
2. Calculate the 99% 1-day Value at Risk of a portfolio worth $10m with expected returns of 10% annually and volatility of 20%.
A) 2326000
B) 290218
C) 294218
D) 126491
3. The EWMA and GARCH approaches to volatility clustering can be applied to VaR calculations using:
A) Monte Carlo simulations
B) analytical VaR
C) all of the above
D) historical simulations
4. Which of the following statements are true:
I. Credit VaR often assumes a one year time horizon, as opposed to a shorter time horizon for market risk as credit activities generally span a longer time period.
II. Credit losses in the banking book should be assessed on the basis of mark-to-market mode as opposed to the default-only mode.
III. The confidence level used in the calculation of credit capital is high when the objective is to maintain a high credit rating for the institution.
IV. Credit capital calculations for securities with liquid markets and held for proprietary positions should be based on marking positions to market.
A) I and III
B) I and II
C) I, III and IV
D) II and III
5. Which of the following should be included when calculating the Gross Income indicator used to calculate operational risk capital under the basic indicator and standardized approaches under Basel II?
A) Net non-interest income
B) Operating expenses
C) Fees paid to outsourcing service proviers
D) Insurance income
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: B | Question # 3 Answer: C | Question # 4 Answer: C | Question # 5 Answer: A |






