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PRMIA 8011 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Counterparty Risk and Risk Mitigation | 13% | - Basics of Counterparty Risk - Risk Mitigation Techniques |
| Classic Credit Products, Life Cycle and Credit Risk Methodology | 30% | - Classic Credit Risk Methodology - Classic Credit Products - Introduction to Credit Risk |
| Credit Valuation Adjustment (CVA) and Related Topics | 17% | - Managing Counterparty Risk and CVA - Credit Valuation Adjustment (CVA) - XVA and SA-CCR |
| Case Studies | 7% | |
| Credit Derivatives and Securitization | 13% | - Credit Derivatives - Securitization Processes and Instruments |
| Credit Risk Modeling and Portfolio Management | 20% | - Modern Credit Risk Modeling - Credit Portfolio Management |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
A corporate bond has a cumulative probability of default equal to 20% in the first year, and 45% in the second year. What is the monthly marginal probability of default for the bond in the second year, conditional on there being no default in the first year?
- A. 3.07%
- B. 2.60%
- C. 15.00%
- D. 31.25%
Correct Answer: A 🗳️
Explanation: Only visible for DumpsFree members. You can sign-up / login (it's free).
Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio?
(where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.)
- A.

- B.

- C.

- D.

Correct Answer: B 🗳️
Explanation: Only visible for DumpsFree members. You can sign-up / login (it's free).
Which of the following statements are true:
I. It is usual to set a very high confidence level when estimating VaR for capital requirements.
II. For model validation, very high VaR confidence levels are used to minimize excess losses.
III. For limit setting for managing day to day positions, it is usual to set VaR confidence levels that are neither too low to be exceeded too often, nor too high as to be never exceeded.
IV. The Basel accord requirements for market risk capital require the use of a time horizon of 1 year.
- A. II and III
- B. I and III
- C. III and IV
- D. I and IV
Correct Answer: B 🗳️
Explanation: Only visible for DumpsFree members. You can sign-up / login (it's free).
Which of the following are true:
I. Delta hedges need to be rebalanced frequently as deltas fluctuate with fluctuating prices.
II. Portfolio managers are right to focus on primary risks over secondary risks.
III. Increasing the hedge rebalance frequency reduces residual risks but increases transaction costs.
IV. Vega risk can be hedged using options.
- A. I, II, III and IV
- B. I and II
- C. I, II and III
- D. II, III and IV
Correct Answer: A 🗳️
Explanation: Only visible for DumpsFree members. You can sign-up / login (it's free).
If the systematic VaR for an equity portfolio is $100 and the specific VaR is $80, then which of the following is true in relation to the total VaR:
- A. Total VaR is less than $180
- B. Total VaR is $180
- C. Total VaR is $20
- D. Total VaR is greater than $180
Correct Answer: A 🗳️
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