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PRMIA 8011 Exam Syllabus Topics:

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

1. As the persistence parameter under EWMA is lowered, which of the following would be true:

A) The model will react faster to market shocks
B) The model will give lower weight to recent returns
C) High variance from the recent past will persist for longer
D) The model will react slower to market shocks

2. A risk analyst attempting to model the tail of a loss distribution using EVT divides the available dataset into blocks of data, and picks the maximum of each block as a data point to consider.
Which approach is the risk analyst using?

A) Peak-over-thresholds approach
B) Expected loss approach
C) Block Maxima approach
D) Fourier transformation

3. As the persistence parameter under GARCH is lowered, which of the following would be true:

A) The model will react faster to market shocks
B) The model will give lower weight to recent returns
C) High variance from the recent past will persist for longer
D) The model will react slower to market shocks

4. If A and B be two debt securities, which of the following is true?

A) The probability of simultaneous default of A and B is greatest when their default correlation is negative
B) The probability of simultaneous default of A and B is not dependent upon their default correlations, but on their marginal probabilities of default
C) The probability of simultaneous default of A and B is greatest when their default correlation is +1
D) The probability of simultaneous default of A and B is greatest when their default correlation is 0

5. Loss provisioning is intended to cover:

A) Unexpected losses
B) Expected losses
C) Both expected and unexpected losses
D) Losses in excess of unexpected losses

Solutions: