PRMIA Credit and Counterparty Manager (CCRM) Certificate (8011) Free Practice Test
Question 1
Which of the following formulae correctly describes Component VaR. (p refers to the portfolio, and i is the i- th constituent of the portfolio. MVaR means Marginal VaR, and other symbols have their usual meanings.)
Correct Answer: C
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).
Question 2
The probability of default of a security over a 1 year period is 3%. What is the probability that it would have defaulted within 6 months?
Correct Answer: A
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).
Question 3
Which of the following belong in a credit risk report?
Correct Answer: C
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).
Question 4
Which of the following formulae describes CVA (Credit Valuation Adjustment)? All acronyms have their usual meanings (LGD=Loss Given Default, ENE=Expected Negative Exposure, EE=Expected Exposure, PD=Probability of Default, EPE=Expected Positive Exposure, PFE=Potential Future Exposure)
Correct Answer: B
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).
Question 5
Under the internal ratings based approach for risk weighted assets, for which of the following parameters must each institution make internal estimates (as opposed to relying upon values determined by a national supervisor):
Correct Answer: C
Question 6
Which of the following statements is true?
I. Real Time Gross Systems (RTGS) for large value payments consume less system liquidity than Deferred Net Systems (DNS) II. The US Fedwire is an example of a Real Time Gross System III. Current disclosure requirements in relation to liquidity risk as laid down in the Basel framework require banks to disclose how liquidity stress scenarios were formulated IV. A CFP (Contingency Funding Plan) provides access to Central Bank financing
I. Real Time Gross Systems (RTGS) for large value payments consume less system liquidity than Deferred Net Systems (DNS) II. The US Fedwire is an example of a Real Time Gross System III. Current disclosure requirements in relation to liquidity risk as laid down in the Basel framework require banks to disclose how liquidity stress scenarios were formulated IV. A CFP (Contingency Funding Plan) provides access to Central Bank financing
Correct Answer: D
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).
Question 7
When the volatility of the yield for a bond increases, which of the following statements is true:
Correct Answer: A
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).
Question 8
The generalized Pareto distribution, when used in the context of operational risk, is used to model:
Correct Answer: A
Explanation: Only visible for TestSimulate members. You can sign-up / login (it's free).