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PRMIA 8008 Exam Syllabus Topics:

SectionObjectives
Topic 1: Risk Management Frameworks- Enterprise risk management principles
  • 1. Risk governance structure
    • 2. Risk identification and assessment processes
      • 3. Risk appetite and tolerance
        - Risk measurement and reporting frameworks
        Topic 2: Credit Risk- Credit risk measurement and modeling
        • 1. Exposure at default (EAD)
          • 2. Probability of default (PD)
            • 3. Loss given default (LGD)
              - Credit portfolio risk
              Topic 3: Funds Transfer Pricing (FTP)- FTP methodologies
              - Internal pricing of funds and liquidity allocation
              Topic 4: Operational Risk- Operational risk types and sources
              - Operational risk management techniques
              • 1. Key risk indicators (KRI)
                • 2. Risk and control self-assessment (RCSA)
                  • 3. Loss event data collection
                    Topic 5: Asset-Liability Management (ALM)- Liquidity risk management
                    - Interest rate risk in the banking book (IRRBB)
                    Topic 6: Counterparty Risk- Derivatives credit risk considerations
                    - Netting and collateral management
                    - Counterparty credit exposure
                    Topic 7: Market Risk- Interest rate, equity, FX, and commodity risk
                    - Market risk measurement techniques
                    • 1. Stress testing and scenario analysis
                      • 2. Value at Risk (VaR)

                        PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:

                        Which of the following can be used to reduce credit exposures to a counterparty:
                        I. Netting arrangements
                        II. Collateral requirements
                        III. Offsetting trades with other counterparties
                        IV. Credit default swaps

                        • A. I, II and IV
                        • B. I and II
                        • C. I, II, III and IV
                        • D. III and IV
                        Reveal Solution  Discussion  0

                        Correct Answer: A  🗳️

                        Explanation: Only visible for PrepAwayExam members. You can sign-up / login (it's free).

                        Which of the following statements are true:
                        I. It is usual to set a very high confidence level when estimating VaR for capital requirements.
                        II. For model validation, very high VaR confidence levels are used to minimize excess losses.
                        III. For limit setting for managing day to day positions, it is usual to set VaR confidence levels that are neither too low to be exceeded too often, nor too high as to be never exceeded.
                        IV. The Basel accord requirements for market risk capital require the use of a time horizon of 1 year.

                        • A. II and III
                        • B. III and IV
                        • C. I and III
                        • D. I and IV
                        Reveal Solution  Discussion  0

                        Correct Answer: C  🗳️

                        Explanation: Only visible for PrepAwayExam members. You can sign-up / login (it's free).

                        Which of the following best describes Altman's Z-score

                        • A. A standardized z based upon the normal distribution
                        • B. A numerical computation based upon accounting ratios
                        • C. A regression of probability of survival against a given set of factors
                        • D. A calculation of default probabilities
                        Reveal Solution  Discussion  0

                        Correct Answer: B  🗳️

                        Explanation: Only visible for PrepAwayExam members. You can sign-up / login (it's free).

                        The frequency distribution for operational risk loss events can be modeled by which of the following distributions:
                        I. The binomial distribution
                        II. The Poisson distribution
                        III. The negative binomial distribution
                        IV. The omega distribution

                        • A. I, II, III and IV
                        • B. I and III
                        • C. I, III and IV
                        • D. I, II and III
                        Reveal Solution  Discussion  0

                        Correct Answer: D  🗳️

                        Explanation: Only visible for PrepAwayExam members. You can sign-up / login (it's free).

                        As the persistence parameter under GARCH is lowered, which of the following would be true:

                        • A. The model will react slower to market shocks
                        • B. High variance from the recent past will persist for longer
                        • C. The model will react faster to market shocks
                        • D. The model will give lower weight to recent returns
                        Reveal Solution  Discussion  0

                        Correct Answer: C  🗳️

                        Explanation: Only visible for PrepAwayExam members. You can sign-up / login (it's free).

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