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PRMIA 8008 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Operational Risk | - Operational Risk Measurement and Controls - Operational Risk Identification and Assessment |
| Market Risk | - Market Risk Measurement Techniques - Market Risk Models and VAR |
| Credit Risk | - Credit Risk Mitigation and Management - Credit Risk Analysis and Measurement |
| Risk Management Frameworks | - Enterprise Risk Management Principles - Governance and Risk Culture |
| Funds Transfer Pricing (FTP) | - FTP Framework and Methodologies - FTP Implementation and Governance |
| Asset-Liability Management (ALM) | - Liquidity and Funding Risk Management - Interest Rate Risk in the Banking Book |
| Counterparty Risk | - Counterparty Exposure and Collateral Management - Pre-Settlement and Settlement Risk |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds over a one year horizon are 0.03 and 0.08 respectively. If the default correlation is zero, what is the one year expected loss on this portfolio?
- A. $1.38m
- B. $5.5m
- C. $11m
- D. $5.26m
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Which of the following is true for the actuarial approach to credit risk modeling (CreditRisk+):
- A. The number of defaults is modeled using a binomial distribution where the number of defaults are considered discrete events
- B. The approach is based upon historical rating transition matrices
- C. Default correlations between obligors are accounted for using a multivariate normal model
- D. The approach considers only default risk, and ignores the risk to portfolio value from credit downgrades
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The CDS rate on a defaultable bond is approximated by which of the following expressions:
- A. Loss given default x Default hazard rate
- B. Hazard rate / (1 - Recovery rate)
- C. Credit spread x Loss given default
- D. Hazard rate x Recovery rate
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The CDS quote for the bonds of Bank X is 200 bps. Assuming a recovery rate of 40%, calculate the default hazard rate priced in the CDS quote.
- A. 5.00%
- B. 2.00%
- C. 0.80%
- D. 3.33%
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Which of the following is not a tool available to financial institutions for managing credit risk:
- A. Cumulative accuracy plot
- B. Third party guarantees
- C. Collateral
- D. Credit derivatives
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