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PRMIA 8008 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Counterparty Risk | 15% | - Credit Value Adjustment (CVA) & Wrong-way Risk - Counterparty Credit Risk Fundamentals - Potential Future Exposure - Netting, Collateral & Margining |
| Topic 2: Risk Management Frameworks | 20% | - Risk Measurement Methodologies - Risk Governance & Culture - Regulatory Frameworks & Basel Accords - Enterprise Risk Management Principles |
| Topic 3: Credit Risk | 20% | - Credit Risk Concepts - Exposure & Probability of Default - Loss Given Default & Credit Valuation Adjustment - Credit Risk Modeling & Capital Calculation |
| Topic 4: ALM & FTP | 10% | - Interest Rate Risk in the Banking Book - Asset-Liability Management Principles - Funds Transfer Pricing Methodology & Application - Liquidity Risk Management |
| Topic 5: Market Risk | 15% | - Interest Rate, Equity, FX & Commodity Risk - Regulatory Capital for Market Risk - Value-at-Risk (VaR) & Stress Testing - Market Risk Factors & Drivers |
| Topic 6: Operational Risk | 20% | - Control & Mitigation Techniques - Definition & Scope - Capital Requirements & Advanced Measurement Approaches - Risk Identification & Assessment |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
1. The sum of the stand alone economic capital of all the business units of a bank is:
A) equal to the economic capital for the firm as a whole
B) more than the economic capital for the firm as a whole
C) less than the economic capital for the firm as a whole
D) unrelated to the economic capital for the firm as a whole
2. Which of the following statements are true:
I. Capital adequacy implies the ability of a firm to remain a going concern II. Regulatory capital and economic capital are identical as they target the same objectives III. The role of economic capital is to provide a buffer against expected losses IV. Conservative estimates of economic capital are based upon a confidence level of 100%
A) I and III
B) I
C) III
D) I, III and IV
3. Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio?
(where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.) A)
B)
C)
D)
A) Option C
B) Option B
C) Option A
D) Option D
4. Which of the following statements are true:
I. Common scenarios for stress tests include the 1997 Asian crisis, the Russian default in 1998 and other well known economic stress situations.
II. Stress tests provide the assurance that an institution's worst case losses will be covered.
III. Performing stress tests is highly recommended but is not mandated under Basel II.
IV. Historical events can be modeled quite accurately as they have defined start and end dates.
A) I only
B) I and II
C) I, III and IV
D) All of the above
5. Under the KMV Moody's approach to calculating expecting default frequencies (EDF), firms' default on obligations is likely when:
A) asset values reach a level below total liabilities
B) expected asset values one year hence are below total liabilities
C) asset values reach a level between short term debt and total liabilities
D) asset values reach a level below short term debt
Solutions:
| Question # 1 Answer: B | Question # 2 Answer: B | Question # 3 Answer: C | Question # 4 Answer: A | Question # 5 Answer: C |


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