PRMIA 8011 Q&A - in .pdf

  • Exam Code: 8011
  • Exam Name: Credit and Counterparty Manager (CCRM) Certificate Exam
  • Q & A: 330 Questions and Answers
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  • Exam Code: 8011
  • Exam Name: Credit and Counterparty Manager (CCRM) Certificate Exam
  • Q & A: 330 Questions and Answers
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PRMIA 8011 Exam Syllabus Topics:

SectionObjectives
Topic 1: Credit Derivatives and Securitization- Credit derivatives instruments
- Securitization structures and process
Topic 2: Modern Credit Risk Modeling- Credit VaR and loss distribution simulation
- PD/LGD modeling frameworks
Topic 3: Counterparty Risk- Definition and sources of counterparty risk
- Mitigation techniques (netting, collateral)
Topic 4: SA-CCR and Regulatory Frameworks- Standardized Approach for Counterparty Credit Risk
Topic 5: Classic Credit Risk- Credit risk methodology
  • 1. Credit analysis frameworks
    • 2. Traditional credit risk assessment approaches
      - Credit products and lifecycle
      • 1. Loan origination, servicing, and repayment lifecycle
        • 2. Credit instruments and structures
          Topic 6: CVA and DVA- Valuation adjustments
          - Measurement and interpretation
          Topic 7: Credit Portfolio Management- Risk concentration and diversification
          - Portfolio credit risk measurement

          PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:

          Question #1

          Which of the following statements is true:
          I. If the sum of its parameters is less than one, GARCH is a mean reverting model of volatility, while EWMA is never mean reverting II. Standardized returns under both EWMA and GARCH show less non-normality than non standardized returns III. Steady state variance under GARCH is affected only by the persistence coefficient IV. Good risk measures are always sub-additive

          • A. I, II and IV
          • B. I, II and III
          • C. I & II
          • D. II, III and IV
          Reveal Solution  Discussion  0

          Correct Answer: A  🗳️

          Explanation: Only visible for TorrentValid members. You can sign-up / login (it's free).

          Question #2

          Under the CreditPortfolio View approach to credit risk modeling, which of the following bestdescribes the conditional transition matrix:

          • A. The conditional transition matrix is the transition matrix adjusted for the distribution of the firms' asset returns
          • B. The conditional transition matrix is the unconditional transition matrix adjusted for probabilities of defaults
          • C. The conditional transition matrix is the transition matrix adjusted for the risk horizon being different from that of the transition matrix
          • D. The conditional transition matrix is the unconditional transition matrix adjusted for the state of the economy and other macro economic factors being modeled
          Reveal Solution  Discussion  0

          Correct Answer: D  🗳️

          Explanation: Only visible for TorrentValid members. You can sign-up / login (it's free).

          Question #3

          Altman's Z-score does not consider which of the following ratios:

          • A. Market capitalization to debt
          • B. Sales to total assets
          • C. Working capital to total assets
          • D. Net income to total assets
          Reveal Solution  Discussion  0

          Correct Answer: D  🗳️

          Explanation: Only visible for TorrentValid members. You can sign-up / login (it's free).

          Question #4

          A bank prices retail credit loans based on median default rates. Over the long run, it can expect:

          • A. Correct pricing of risk in the retail credit portfolio
          • B. A reduction in the rate of defaults
          • C. Overestimation of risk and overpricing, leading to loss of market share
          • D. Underestimation and therefore underpricing of risk in it retail portfolio
          Reveal Solution  Discussion  0

          Correct Answer: D  🗳️

          Explanation: Only visible for TorrentValid members. You can sign-up / login (it's free).

          Question #5

          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. relies upon the single factor CAPM model
          • C. explicitly considers specific risk inherent in the portfolio for risk calculations
          • D. use of the beta assumes that the portfolio is diversified enough so that the specific risks of the individual stocks offset each other
          Reveal Solution  Discussion  0

          Correct Answer: C  🗳️

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