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PRMIA 8011 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Classic Credit Risk | - Credit products and lifecycle
|
| Credit Portfolio Management | - Portfolio credit risk measurement - Risk concentration and diversification |
| CVA and DVA | - Valuation adjustments - Measurement and interpretation |
| Counterparty Risk | - Mitigation techniques (netting, collateral) - Definition and sources of counterparty risk |
| Modern Credit Risk Modeling | - PD/LGD modeling frameworks - Credit VaR and loss distribution simulation |
| SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. A stock that follows the Weiner process has its future price determined by:
A) its expected return alone
B) its expected return and standard deviation
C) its current price, expected return and standard deviation
D) its standard deviation and past technical movements
2. Regulatory arbitrage refers to:
A) the practice of transferring business and profits to jurisdictions (such as those in other countries) to avoid or reduce capital adequacy requirements
B) All of the above
C) the practice of investing and financing decisions being driven by associated regulatory capital requirements as opposed to the true underlying economics of these decisions
D) the practice of structuring a financial institution's business as a bank holding company to arbitrage the differing capital and credit rating requirements for different business lines
3. Which of the following attributes of an investment are affected by changes in leverage:
A) All of the above
B) Sharpe ratio
C) Information ratio
D) risk and return
4. Which of the following statements are true with respect to stress testing:
I. Stress testing results in a dollar estimate of losses
II. The results of stress testing can replace VaR as a measure of risk as they are better grounded in reality III. Stress testing provides an estimate of losses at a desired level of confidence IV. Stress testing based on factor shocks can allow modeling extreme events that have not occurred in the past
A) II and III
B) I, II and IV
C) I and IV
D) II, III and IV
5. A bank prices retail credit loans based on median default rates. Over the long run, it can expect:
A) Underestimation and therefore underpricing of risk in it retail portfolio
B) Correct pricing of risk in the retail credit portfolio
C) A reduction in the rate of defaults
D) Overestimation of risk and overpricing, leading to loss of market share
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: C | Question # 3 Answer: D | Question # 4 Answer: C | Question # 5 Answer: A |





