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PRMIA 8011 Exam Syllabus Topics:

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

Question 1

Which of the following are valid approaches for extreme value analysis given a dataset:
I. The Block Maxima approach
II. Least squares approach
III. Maximum likelihood approach
IV. Peak-over-thresholds approach

A. I, III and IV
B. All of the above
C. I and IV
D. II and III

Question 2

The backtesting of VaR estimates under the Basel accord requires comparing the ex-ante VaR to:

A. the Basel accord does not require banks to backtest VaR estimates
B. hypothetical profit and loss keeping the positions constant
C. ex-ante VaR calculated for the subsequent periods
D. realized profit and loss for the period

Question 3

A bank evaluates the impact of large and severe changes in certain risk factors on its risk using a quantitative valuation model. Which of the following best describes this exercise?

A. Sensitivity analysis
B. Simulation
C. Scenario analysis
D. Stress testing

Question 4

Which of the following decisions need to be made as part of laying down a system for calculating VaR:
I. How returns are calculated, eg absoluted returns, log returns or relative/percentage returns II. Whether VaR is calculated based on historical simulation, Monte Carlo, or is computed parametrically III. Whether binary/digital options are included in the portfolio positions IV. How volatility is estimated

A. I, II and IV
B. All of the above
C. I and III
D. II and IV

Question 5

According to the Basel II standard, which of the following conditions must be satisfied before a bank can use
'mark-to-model' for securities in its trading book?
I. Marking-to-market is not possible
II. Market inputs for the model should be sourced in line with market prices III. The model should have been created by the front office IV. The model should be subject to periodic review to determine the accuracy of its performance

A. I, II and IV
B. III and IV
C. I, II, III and IV
D. II and III

Solutions: