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PRMIA 8011 Exam Syllabus Topics:

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

1. The 10-day VaR of a diversified portfolio is $100m. What is the 20-day VaR of the same portfolio assuming the market shows a trend and the autocorrelation between consecutive periods is 0.2?

A) 100
B) 200
C) 141.42
D) 154.92

2. Which of the following situations are not suitable for applying parametric VaR:
I. Where the portfolio's valuation is linearly dependent upon risk factors II. Where the portfolio consists of non-linear products such as options and large moves are involved III. Where the returns of risk factors are known to be not normally distributed

A) All of the above
B) II and III
C) I and III
D) I and II

3. When modeling operational risk using separate distributions for loss frequency and loss severity, which of the following is true?

A) Loss severity and loss frequency are modeled using the same units of measurement
B) Loss severity and loss frequency are modeled as conditional probabilities
C) Loss severity and loss frequency distributions are considered as a bivariate model with positive correlation
D) Loss severity and loss frequency are considered independent

4. Which of the following is the best description of the spread premium puzzle:

A) The spread premium puzzle refers to observed default rates being much less than implied default rates, leading to lower credit bonds being relatively cheap when compared to their actual default probabilities
B) The spread premium puzzle refers to dollar denominated non-US sovereign bonds being priced a at significant discount to other similar USD denominated assets
C) The spread premium puzzle refers to the moral hazard implicit in the monoline insurance market
D) The spread premium puzzle refers to AAA corporate bonds being priced at almost the same prices as equivalent treasury bonds without offering the same liquidity or guarantee as treasury bonds

5. Which of the following best describes the concept of marginal VaR of an asset in a portfolio:

A) Marginal VaR is the value of the expected losses on occasions where the VaR estimate is exceeded.
B) Marginal VaR is the contribution of the asset to portfolio VaR in a way that the sum of such calculations for all the assets in the portfolio adds up to the portfolio VaR.
C) Marginal VaR describes the change in total VaR resulting from a $1 change in the value of the asset in question.
D) Marginal VaR is the change in the VaR estimate for the portfolio as a result of including the asset in the portfolio.

Solutions: