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PRMIA 8011 Certification Exam is a rigorous exam that requires a significant amount of preparation and study. 8011 exam consists of 100 multiple-choice questions and is three hours in length. To pass the exam, individuals must achieve a score of at least 70%. 8011 exam is administered at Pearson VUE testing centers around the world, making it accessible to individuals in many different locations.

PRMIA 8011 CCRM Certificate is an advanced-level certification exam that covers a range of topics related to credit and counterparty risk management, including credit analysis, risk assessment, credit derivatives, and counterparty credit risk. 8011 exam is designed for individuals who are responsible for managing credit and counterparty risk in financial institutions, corporations, and other organizations.

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Credit and Counterparty Manager (CCRM) Certificate Exam exam pdf guide & 8011 prep sure exam

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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q165-Q170):

NEW QUESTION # 165
Which of the following statements are true:
I. Pre-settlement risk is the risk that one of the parties to a contract might default prior to the maturity date or expiry of the contract.
II. Pre-settlement risk can be partly mitigated by providing for early settlement in the agreements between the counterparties.
III. The current exposure from an OTC derivatives contract is equivalent to its current replacement value.
IV. Loan equivalent exposures are calculated even for exposures that are not loans as a practical matter for calculating credit risk exposure.

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

Answer: D

Explanation:
Pre-settlement risk is the risk that one of the counterparties defaults prior to the date for the maturity of the transaction in question. This may be an unrelated default, in fact there may have been no default on that particular contract, but the party may have defaulted on its other obligations, or filed for bankruptcy. To deal with such cases and to protect the interests of both the parties, it is common to provide for immediate termination of positions and settlement based on the current replacement value of the contracts. Therefore statements I and II are correct.
Statement III is correct as well - the exposure from an OTC derivative contract derives from its current replacement value, and not the notional. If the current replacement value is negative, then the credit exposure is considered equal to zero.
Statement IV is correct as it is quite common to restate all exposures - those from credit lines, OTC derivatives etc - in loan equivalent terms prior to estimating credit risk.

NEW QUESTION # 166
For a FX forward contract, what would be the worst time for a counterparty to default (in terms of the maximum likely credit exposure)

A. Roughly three-quarters of the way towards maturity
B. Right after inception
C. Indeterminate from the given information
D. At maturity

Answer: D

Explanation:
With the passage of time, the range of possible values the FX contract can take increases. Therefore the maximum value of the contract, which is when the credit risk would be maximum, would be at maturity.
(Note that this is different than an interest rate swap whose value at maturity approaches zero.) Therefore Choice 'a' is the correct answer and the others are incorrect.

NEW QUESTION # 167
What is the annualized steady state volatility under a GARCH model where alpha is 0.1, beta is 0.8 and omega is 0.00025?

A. 0.0025
B. 0.08
C. 0.1
D. 0.05

Answer: D

Explanation:
Steady state variance under the GARCH model is given by the formula #/(1 - # - #). In this case, steady state variance therefore works out to 0.00025/(1 - 0.1 - 0.8) = 0.0025. Since this is the variance, volatility is the square root of 0.0025, which works out to 0.05.
Thus, 5% (=0.05) is the correct answer, and the others are incorrect.
Also recall the following in respect of GARCH:
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NEW QUESTION # 168
Which of the following is not a parameter to be determined by the risk manager that affects the level of economic credit capital:

A. Risk horizon
B. Confidence level
C. Definition of credit losses
D. Probability of default

Answer: D

Explanation:
Three parameters define economic credit capital: the risk horizon, ie the time horizon over which the risk is being assessed; the confidence level, ie the quintile of the loss distribution; and the definition of credit losses, ie whether mark-to-market losses are considered in addition to default-only losses. The probability of default is not a parameter within the control of the risk manager, but an input into the capital calculation process that he has to estimate. Therefore Choice 'c' is the correct answer.

NEW QUESTION # 169
Which of the following is not a limitation of the univariate Gaussian model to capture the codependence structure between risk factros used for VaR calculations?

A. Determining the covariance matrix becomes an extremely difficult task as the number of risk factors increases.
B. A single covariance matrix is insufficient to describe the fine codependence structure among risk factors as non-linear dependencies or tail correlations are not captured.
C. It cannot capture linear relationships between risk factors.
D. The univariate Gaussian model fails to fit to the empirical distributions of risk factors, notably their fat tails and skewness.

Answer: C

Explanation:
In the univariate Gaussian model, each risk factor is modeled separately independent of the others, and the dependence between the risk factors is captured by the covariance matrix (or its equivalent combination of the correlation matrix and the variance matrix). Risk factors could include interest rates of different tenors, different equity market levels etc.
While this is a simple enough model, it has a number of limitations.
First, it fails to fit to the empirical distributions of risk factors, notably their fat tails and skewness. Second, a single covariance matrix is insufficient to describe the fine codependence structure among risk factors as non- linear dependencies or tail correlations are not captured. Third, determining the covariance matrix becomes an extremely difficult task as the number of risk factors increases. The number of covariances increases by the square of the number of variables.
But an inability to capture linear relationships between the factors is not one of the limitations of the univariate Gaussian approach - in fact it is able to do that quite nicely with covariances.
A way to address these limitations is to consider joint distributions of the risk factors that capture the dynamic relationships between the risk factors, and that correlation is not a static number across an entire range of outcomes, but the risk factors can behave differently with each other at different intersection points.

NEW QUESTION # 170
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Credit and Counterparty Manager (CCRM) Certificate Exam exam pdf guide & 8011 prep sure exam

PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q165-Q170):

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