8011 VALID EXAM SYLLABUS & 8011 EXAMCOLLECTION VCE

8011 Valid Exam Syllabus & 8011 Examcollection Vce

8011 Valid Exam Syllabus & 8011 Examcollection Vce

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Tags: 8011 Valid Exam Syllabus, 8011 Examcollection Vce, Valid 8011 Vce, 8011 Reliable Braindumps Pdf, Braindump 8011 Pdf

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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 (Q17-Q22):

NEW QUESTION # 17
Which of the following are considered properties of a 'coherent' risk measure:
I. Monotonicity
II. Homogeneity
III. Translation Invariance
IV. Sub-additivity

  • A. I and III
  • B. II and III
  • C. II and IV
  • D. All of the above

Answer: C

Explanation:
All of the properties described are the properties of a 'coherent' risk measure.
Monotonicity means that if a portfolio's future value is expected to be greater than that of another portfolio, its risk should be lower than that of the other portfolio. For example, if the expected return of an asset (or portfolio) is greater than that of another, the first asset must have a lower risk than the other. Another example: between two options if the first has a strike price lower than the second, then the first option will always have a lower risk if all other parameters are the same. VaRsatisfies this property.
Homogeneity is easiest explained by an example: if you double the size of a portfolio, the risk doubles. The linear scaling property of a risk measure is called homogeneity. VaR satisfies this property.
Translation invariance means adding riskless assets to a portfolio reduces total risk. So if cash (which has zero standard deviation and zero correlation with other assets) is added to a portfolio, the risk goes down. A risk measure should satisfy this property, and VaR does.
Sub-additivity means that the total risk for a portfolio should be less than the sum of its parts. This is a property that VaR satisfies most of the time, but not always. As an example, VaR may not be sub-additive for portfolios that have assets with discontinuous payoffs close to the VaR cutoff quantile.


NEW QUESTION # 18
Which of the following credit risk models considers debt as including a put option on the firm's assets to assess credit risk?

  • A. The actuarial approach
  • B. CreditPortfolio View
  • C. The CreditMetrics approach
  • D. The contingent claims approach

Answer: D

Explanation:
The correct answer is Choice 'c'. The following is a brief description of the major approaches available to model credit risk, and the analysis that underlies them:
1. CreditMetrics: based on the credit migration framework. Considers the probability of migration to other credit ratings and the impact of such migrations on portfolio value.
2. CreditPortfolio View: similar to CreditMetrics, but adds the impact of the business cycle to the evaluation.
3. The contingent claims approach: uses option theory by considering a debt as a put option on the assets of the firm.
4. KMV's EDF (expected default frequency) based approach: relies on EDFs and distance to default as a measure of credit risk.
5. CreditRisk+: Also called the 'actuarial approach', considers default as a binary event that either happens or does not happen. This approach does not consider the loss of value from deterioration in credit quality (unless the deterioration implies default).


NEW QUESTION # 19
Once the frequency and severity distributions for loss events have been determined, which of the following is an accurate description of the process to determine a full loss distribution foroperational risk?

  • A. A firm wide operational risk distribution is generated by adding together the frequency and severity distributions
  • B. The frequency distribution alone forms the basis for the loss distribution for operational risk
  • C. A firm wide operational risk distribution is generated using Monte Carlo simulations
  • D. A firm wide operational risk distribution is set to be equal to the product of the frequency and severity distributions

Answer: C

Explanation:
Once the frequency distribution has been determined (for example, using the binomial, Poisson or the negative binomial distributions) and the severity distribution has also been determined (for example, using the lognormal, gamma or other functions), the loss distribution can be produced by a Monte Carlo simulation using successive drawings from each of these two distributions. It is assumed that the severity and frequency are independent of each other. The resulting distribution gives a distribution showing the losses for operational risk, from which there Op Risk VaR can be determined using the appropriate percentile.Therefore Choice 'b' is the correct answer.


NEW QUESTION # 20
The estimate of historical VaR at 99% confidence based on a set of data with 100 observations will end up being:

  • A. None of the above
  • B. the worst single observation in the data set
  • C. the weighted average of the top 2.33 observations
  • D. the extrapolated returns of the last 1.64 observations

Answer: B

Explanation:
The VaR in this case will be the top quintile of observations. In this case, since there are exactly 100 observations, this would mean the worst return would become the VaR. Therefore Choice 'b' is the correct answer. Choice 'a' and Choice 'c' make no sense. This highlights that at higher confidence levels, fewer and fewer observations impact the VaR if we are using historical simulation based VaR.


NEW QUESTION # 21
A long position in a credit sensitive bond can be synthetically replicated using:

  • A. a short position in a treasury bond and a short position in a CDS
  • B. a long position in a treasury bond and a short position in a CDS
  • C. a long position in a treasury bond and a long position in a CDS
  • D. a short position in a treasury bond and a long position in a CDS

Answer: B

Explanation:
The correct answer is choice 'a'
A long position in a credit sensitive bond is equivalent to earning the risk free rate and the spread on the bond.
The risk free rate can be earned through a long position in a treasury bond, and the spread can be earned in the form of premiums on a CDS, which are received by the protectionseller, ie the party short a CDS contract.
Therefore we can get the same results as a long bond position using a combination of a long treasury bond and a short position in a CDS. Choice 'a' is the correct answer.


NEW QUESTION # 22
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