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PRMIA 8011 Exam Syllabus Topics:

SectionObjectives
Topic 1: Credit Portfolio Management- Portfolio monitoring
  • 1. Concentration risk
  • 2. Diversification
- Risk-adjusted performance
  • 1. Economic capital
  • 2. RAROC
Topic 2: Classic Credit Risk Methodology- Traditional credit analysis
  • 1. Credit assessment frameworks
  • 2. Financial statement analysis
- Risk management practices
  • 1. Credit approval processes
  • 2. Risk rating systems
Topic 3: Modern Credit Risk Modeling- PD/LGD modeling
  • 1. Probability of default
  • 2. Exposure at default
  • 3. Loss given default
- Portfolio risk models
  • 1. Stress testing
  • 2. Value at Risk models
Topic 4: Management of CVA and DVA- Operational implementation
  • 1. Pricing adjustments
  • 2. Regulatory considerations
- CVA management techniques
  • 1. Hedging strategies
  • 2. Risk mitigation frameworks
Topic 5: Credit Derivatives and Securitization- Securitization structures
  • 1. Collateralized debt obligations
  • 2. Asset-backed securities
- Credit derivatives
  • 1. Total return swaps
  • 2. Credit default swaps
Topic 6: Standardized Approach for Counterparty Credit Risk- SA-CCR framework
  • 1. Replacement cost
  • 2. Potential future exposure calculation
- Regulatory capital treatment
  • 1. Exposure measurement
  • 2. Basel framework application
Topic 7: Counterparty Risk- Risk mitigation
  • 1. Collateral management
  • 2. Netting
- Counterparty exposure
  • 1. Current exposure
  • 2. Potential future exposure
Topic 8: CVA and DVA- Credit valuation adjustment
  • 1. CVA interpretation
  • 2. CVA measurement
- Debit valuation adjustment
  • 1. Accounting treatment
  • 2. DVA calculation
Topic 9: Classic Credit Products and Lifecycle- Credit lifecycle management
  • 1. Workout and recovery
  • 2. Monitoring
  • 3. Origination
- Traditional credit products
  • 1. ESG and green lending products
  • 2. Retail lending
  • 3. Corporate lending

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

Which of the following is additive, ie equal to the sum of its components

  • A. Incremental VaR
  • B. Component VaR
  • C. Conditional VaR
  • D. Specific VaR
Answer: B

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Under the standardized approach to determining operational risk capital, operations risk capital is equal to:

  • A. a fixed percentage (different for each business line) of the gross income of the eight specified business lines, averaged over three years
  • B. a fixed percentage of the latest gross income of the bank
  • C. a varying percentage, determined by the national regulator, of the gross revenue of each of the bank's business lines
  • D. 15% of the average gross income (considering only the positive years) of the past three years
Answer: A

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long bond position is hedged using a short position in the futures market. If the hedge performs as expected, then which of the following statements is most accurate:

  • A. None of the above
  • B. the investor will be able to avoid losses
  • C. the investor will be able to avoid losses but will also forgo the gains on his positions
  • D. the investor will be able to avoid losses and will also be able to keep the gains on his positions
Answer: C

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If a borrower has a default probability of 12% over one year, what is the probability of default over a month?

  • A. 2.00%
  • B. 1.06%
  • C. 12.00%
  • D. 1.00%
Answer: B

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Under the CreditPortfolio View model of credit risk, the conditional probability of default will be:

  • A. higher than the unconditional probability of default in an economic expansion
  • B. lower than the unconditional probability of default in an economic expansion
  • C. lower than the unconditional probability of default in an economic contraction
  • D. the same as the unconditional probability of default in an economic expansion
Answer: B

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