8011 Reliable Test Questions & Pass4sure 8011 Study Materials
8011 Reliable Test Questions & Pass4sure 8011 Study Materials
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PRMIA 8011: Credit and Counterparty Manager (CCRM) Certificate Exam is designed to test the knowledge and skills of professionals in credit and counterparty risk management. The test assesses the comprehension of the concepts and technical analysis involved in credit risk management and the application of that knowledge to real-life scenarios. 8011 Exam covers topics such as credit analysis techniques, credit risk models, risk quantification and measurement, asset quality assessment, portfolio optimization, and counterparty risk management.
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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q253-Q258):
NEW QUESTION # 253
If the systematic VaR for an equity portfolio is $100 and the specific VaR is $80, then which of the following is true in relation to the total VaR:
- A. Total VaR is greater than $180
- B. Total VaR is $20
- C. Total VaR is less than $180
- D. Total VaR is $180
Answer: C
Explanation:
Choice 'd' is correct because VaR is sub-additive in cases where correlation is less than one.
Specific VaR refers to the risk in the portfolio from security selection, ie the risk from holding the specific equities in the portfolio, while systematic risk refers to the market risk. Definitionally, specific risk and systematic risk are uncorrelated, ie their correlation is zero. Since their correlation is zero, combining them will produce a VaR number lower than their stand alone aggregate. Total risk includes both specific risk and systematic risk, and can be calculated taking into account the specific and systematic VaRs and their correlation.
All other answers are therefore incorrect.
NEW QUESTION # 254
Which of the following is not a possible early warning indicator in relation to the health of a counterparty?
- A. A decline in the counterparty's corporate debt yield
- B. Falling stock price
- C. Credit rating downgrade
- D. Negative publicity
Answer: A
Explanation:
Negative publicity, a downgrade in the credit rating, a falling stock price are all pointers to potential credit problems, and the counterparty credit monitoring group of a bank should be using these as possible early indicators of an upcoming credit health problem. A decline in the yield of the debt issued by a counterparty means its spread is declining and the health of the credit is actually improving. Therefore a decline in the counterparty's corporate debt yield cannot be used as an indicator of potential credit problems.
Choice 'c' is therefore the correct answer.
NEW QUESTION # 255
What is the 1-day VaR at the 99% confidence interval for a cash flow of $10m due in 6 months time? The risk free interest rate is 5% per annum and its annual volatility is 15%. Assume a 250 day year.
- A. 0
- B. 1
- C. 2
- D. 3
Answer: C
Explanation:
The $10m cash flow due in 6 months is equivalent to a bond with a present value of 10m/(1.05)