Quiz 2025 Accurate PRMIA 8011: Credit and Counterparty Manager (CCRM) Certificate Exam Accurate Prep Material
Quiz 2025 Accurate PRMIA 8011: Credit and Counterparty Manager (CCRM) Certificate Exam Accurate Prep Material
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PRMIA 8011 CCRM certificate is designed for professionals who are involved in credit risk management and counterparty risk management. Credit and Counterparty Manager (CCRM) Certificate Exam certification program covers a wide range of topics, including credit analysis, credit risk measurement and management, counterparty risk management, credit derivatives, and regulatory requirements related to credit risk. By earning the PRMIA 8011 CCRM certificate, individuals can demonstrate their expertise in these critical areas and enhance their career prospects in the risk management field.
PRMIA 8011 Credit and Counterparty Manager (CCRM) Certificate Exam is offered by the Professional Risk Managers' International Association (PRMIA), a non-profit organization that promotes best practices in risk management. 8011 exam is designed for professionals who are involved in credit risk management, including credit analysts, credit risk managers, portfolio managers, and risk executives. 8011 exam is also suitable for individuals who are interested in pursuing a career in credit risk management.
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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q255-Q260):
NEW QUESTION # 255
Which of the following assumptions underlie the 'square root of time' rule used for computing VaR estimates over different time horizons?
I. the portfolio is static from day to day
II. asset returns are independent and identically distributed (i.i.d.)
III. volatility is constant over time
IV. no serial correlation in the forward projection of volatility
V. negative serial correlations exist in the time series of returns
VI. returns data display volatility clustering
- A. I, II, III and IV
- B. I and II
- C. I, II, V and VI
- D. III, IV, V and VI
Answer: A
Explanation:
The square root of time rule can be used to convert, say a 1-day VaR to a 10-day VaR, by multiplying the known number by the square root of time to get the VaR over a different time horizon. However, there are key assumptions that underlie the application of this rule, and statements I to IV correctly state those assumptions.
Statements V and VI are not correct, because the application of the square root of time rule requires the absence of serial correlations, and also the absence of volatility clustering (ie independence). Therefore Choice 'c' is the correct answer.
The square root of time rule is also applied to convert volatility or standard deviation for one period to the volatility for a different time period. Remember that VaR is just a multiple of volatility, and therefore the assumptions that apply to the square root of time rule for VaR also apply to the same rule when used in the context of volatilities or standard deviation.
NEW QUESTION # 256
Which of the following statements are true:
I. Shocks to risk factors should be relative rather than absolute if we wish to avoid a change in thesign of the risk factor.
II. Interest rate shocks are generally modeled as absolute shocks.
III. Shocks to volatility are generally modeled as absolute shocks.
IV. Shocks to market spreads are generally modeled as relative shocks.
- A. I, II and III
- B. II only
- C. II and IV
- D. I and II
Answer: D
Explanation:
Suppose during a historical event interest rates rose from 2% to 2.25%. This can be understood as a change of either 25 basis points, or a change of 12.5%. When applied to the current portfolio when interest rates are
0.50%, we may model this 'shock' as either a rise to 0.75%, or 0.5625% (ie a rise of 12.5% over existing levels). The former is called an absolute shock, and the latter a relative shock.
I is true as relative shocks can never change the sign of a risk factor. Yet interest rate changes are modeled as absolute changes as relative shocks can get artificially amplified or attenuated if the current level of interest rates is too different from those that existed during the crisis being modeled. Therefore II is true. III and IV are false as volatility is modeled as a relative shock and spreads are modeled as absolute shocks.
NEW QUESTION # 257
According to the implied capital model, operational risk capital is estimated as:
- A. Operational risk capital held by similar firms, appropriately scaled
- B. Capital implied from known risk premiums and the firm's earnings
- C. Total capital less market risk capital less credit risk capital
- D. Total capital based on the capital asset pricing model
Answer: C
Explanation:
Operational risk capital estimated using the implied capital model is merely the capital that is not attributable to market or credit risk. Therefore Choice 'b' is the correct answer. All other responses are incorrect.
NEW QUESTION # 258
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. 1.00%
- C. 12.00%
- D. 1.06%
Answer: D
Explanation:
Let the probability of default over a month be p. Therefore the probability of survival at the end of 12 months would be (1 - p)