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PRMIA 8011 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Credit Valuation Adjustment (CVA) and Related Topics | 17% | - Credit Valuation Adjustment (CVA) - Managing Counterparty Risk and CVA - XVA and SA-CCR |
| Topic 2: Credit Derivatives and Securitization | 13% | - Securitization Processes and Instruments - Credit Derivatives |
| Topic 3: Counterparty Risk and Risk Mitigation | 13% | - Risk Mitigation Techniques - Basics of Counterparty Risk |
| Topic 4: Case Studies | 7% | |
| Topic 5: Classic Credit Products, Life Cycle and Credit Risk Methodology | 30% | - Classic Credit Products - Introduction to Credit Risk - Classic Credit Risk Methodology |
| Topic 6: Credit Risk Modeling and Portfolio Management | 20% | - Modern Credit Risk Modeling - Credit Portfolio Management |
PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. The principle underlying the contingent claims approach to measuring credit risk equates the cost of eliminating credit risk for a firm to be equal to:
A) the probability of the firm's assets falling below the critical value for default
B) the market valuation of the firm's equity less the value of its liabilities
C) the cost of a call on the firm's assets with a strike equal to the value of the debt
D) the value of a put on the firm's assets with a strike equal to the value of the debt
2. If EV be the expected value of a firm's assets in a year, and DP be the 'default point' per the KMV approach to credit risk, and#be the standard deviation of future asset returns, then the distance-to-default is given by:
A)
B)
C)
D) 
3. Under the contingent claims approach to measuring credit risk, which of the following factors does NOT affect credit risk:
A) Cash flows of the firm
B) Volatility of the firm's asset values
C) Leverage in the capital structure
D) Maturity of the debt
4. A stock that follows the Weiner process has its future price determined by:
A) its expected return and standard deviation
B) its expected return alone
C) its standard deviation and past technical movements
D) its current price, expected return and standard deviation
5. Consider a portfolio with a large number of uncorrelated assets, each carrying an equal weight in the portfolio. Which of the following statements accurately describes the volatility of the portfolio?
A) The volatility of the portfolio will be equal to the square root of the sum of the variances of the assets in the portfolio weighted by the square of their weights
B) The volatility of the portfolio will be equal to the weighted average of the volatility of the assets in the portfolio
C) The volatility of the portfolio will be close to zero
D) The volatility of the portfolio is the same as that of the market
Solutions:
| Question # 1 Answer: D | Question # 2 Answer: B | Question # 3 Answer: A | Question # 4 Answer: D | Question # 5 Answer: A |







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