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PRMIA 8008 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Credit Risk | 20% | - Credit Risk Concepts - Exposure & Probability of Default - Loss Given Default & Credit Valuation Adjustment - Credit Risk Modeling & Capital Calculation |
| ALM & FTP | 10% | - Funds Transfer Pricing Methodology & Application - Asset-Liability Management Principles - Liquidity Risk Management - Interest Rate Risk in the Banking Book |
| Risk Management Frameworks | 20% | - Regulatory Frameworks & Basel Accords - Enterprise Risk Management Principles - Risk Governance & Culture - Risk Measurement Methodologies |
| Market Risk | 15% | - Regulatory Capital for Market Risk - Market Risk Factors & Drivers - Interest Rate, Equity, FX & Commodity Risk - Value-at-Risk (VaR) & Stress Testing |
| Counterparty Risk | 15% | - Credit Value Adjustment (CVA) & Wrong-way Risk - Counterparty Credit Risk Fundamentals - Potential Future Exposure - Netting, Collateral & Margining |
| Operational Risk | 20% | - Control & Mitigation Techniques - Capital Requirements & Advanced Measurement Approaches - Risk Identification & Assessment - Definition & Scope |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
Fill in the blank in the following sentence:
Principal component analysis (PCA) is a statistical tool to decompose a ____________ matrix into its principal components and is useful in risk management to reduce dimensions.
- A. Volatility
- B. Covariance
- C. Correlation
- D. Positive semi-definite
Correct Answer: D 🗳️
Explanation: Only visible for PassLeader members. You can sign-up / login (it's free).
Which of the following are true:
I. Delta hedges need to be rebalanced frequently as deltas fluctuate with fluctuating prices.
II. Portfolio managers are right to focus on primary risks over secondary risks.
III. Increasing the hedge rebalance frequency reduces residual risks but increases transaction costs.
IV. Vega risk can be hedged using options.
- A. II, III and IV
- B. I, II, III and IV
- C. I, II and III
- D. I and II
Correct Answer: B 🗳️
Explanation: Only visible for PassLeader members. You can sign-up / login (it's free).
A corporate bond maturing in 1 year yields 8.5% per year, while a similar treasury bond yields 4%. What is the probability of default for the corporate bond assuming the recovery rate is zero?
- A. 4.15%
- B. 4.50%
- C. Cannot be determined from the given information
- D. 8.50%
Correct Answer: A 🗳️
Explanation: Only visible for PassLeader members. You can sign-up / login (it's free).
Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution for operational risk?
- A. The frequency distribution alone forms the basis for the loss distribution for operational risk
- B. A firm wide operational risk distribution is set to be equal to the product of the frequency and severity distributions
- C. A firm wide operational risk distribution is generated using Monte Carlo simulations
- D. A firm wide operational risk distribution is generated by adding together the frequency and severity distributions
Correct Answer: C 🗳️
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A risk analyst uses the GARCH model to forecast volatility, and the parameters he uses are = 0.001%, = 0.05 and = 0.93. Yesterday's daily volatility was calculated to be 1%. What is the long term annual volatility under the analyst's model?
- A. 7.94 %
- B. 3.54 %
- C. 0.25 %
- D. 0.22 %
Correct Answer: B 🗳️
Explanation: Only visible for PassLeader members. You can sign-up / login (it's free).
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