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100% Pass 2025 PRMIA Latest 8011: Credit and Counterparty Manager (CCRM) Certificate Exam Learning Materials

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PRMIA 8011 CCRM exam is a rigorous, comprehensive, and challenging exam that requires a significant amount of preparation and study. It is designed for professionals who are looking to advance their careers in credit and counterparty risk management, and who want to demonstrate their knowledge and expertise in this important field. 8011 exam is open to anyone who meets the eligibility requirements, which include a minimum of two years of relevant work experience in credit risk management and a bachelor's degree or higher.

The CCRM certification program covers a range of topics related to credit and counterparty risk management, including credit analysis, credit risk measurement, counterparty risk management, and the use of credit derivatives to manage risk. The program also covers regulatory requirements related to credit risk management, including Basel III and the Dodd-Frank Act. Credit and Counterparty Manager (CCRM) Certificate Exam certification exam is designed to assess a candidate's knowledge of these topics and to ensure that they possess the skills required to manage credit and counterparty risk effectively. Candidates who successfully pass the CCRM certification exam will be able to demonstrate their competency in credit risk management and enhance their career prospects in the financial services industry.

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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q36-Q41):

NEW QUESTION # 36
A Bank Holding Company (BHC) is invested in an investment bank and a retail bank. The BHC defaults for certain if either the investment bank or the retail bank defaults. However, the BHC can also default on its own without either the investment bank or the retail bank defaulting. The investment bank and the retail bank's defaults are independent of each other, with a probability of default of 0.05 each. The BHC's probability of default is 0.11.
What is the probability of default of both the BHC and the investment bank? What is the probability of the BHC's default provided both the investment bank and the retail bank survive?

A. 0.0475 and 0.10
B. 0.08 and 0.0475
C. 0.11 and 0
D. 0.05 and 0.0125

Answer: D

Explanation:
Since the BHC always fails when the investment bank fails, the joint probability of default of the two is merely the probability of the investment bank failing, ie 0.05.
The probability of just the BHC failing, given that both the investment bank and the retail bank have survived will be equal to 0.11 - (0.05+0.05-0.05*0.05) = 0.0125. (The easiest way to understand this would be to consider a venn diagram, where the area under the largest circle is 0.11, and there are two intersecting circles inside this larger circle, each with an area of 0.05 and their intersection accounting for 0.05*0.05. We need to calculate the area outside of the two smaller circles, but within the larger circle representing the BHC).
Refer diagram below, please excuse the awful colors.
A diagram of a bank Description automatically generated

NEW QUESTION # 37
An investor holds a bond portfolio with three bonds with a modified duration of 5, 10 and 12 years respectively. The bonds are currently valued at $100, $120 and $150. If the daily volatility of interest rates is
2%, what is the 1-day VaR of the portfolio at a 95% confidence level?

A. 0
B. 163.11
C. 1
D. 115.51

Answer: D

Explanation:
The total value of the portfolio is $370 (=$100 + $120 + $150). The modified duration of the portfolio is the weighted average of the MDs of the different bonds, ie =(5 * 100/370) + (10 * 120/370) + (12 * 150/370) =
9.46.
This means that for every 1% change in interest rates, the value of the portfolio changes by 9.46%. Since the daily volatility of interest rates is 2%, the 95% confidence level move will be 1.65 * 2% = 3.30%. Thus, the VaR of the portfolio at the 95% confidence level will be 3.3 * 9.46% * $370 = $115.51.
All other answers are incorrect.

NEW QUESTION # 38
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. All of the above
B. I and II
C. I only
D. I, III and IV

Answer: C

Explanation:
Stress tests can cover known events, but since the future is unknown, and new events may be entirely different from what has happened in the past, they provide no assurance that an institution's worst case losses would be covered. Hence II is false.
Stress testing is required to be performed as part of Basel II, and therefore III is false.
Historical events do not have sharply defined start and end dates. Often, even after a crises ends, its after effects may continue to affect the markets for a long time. In such cases, it may be difficult to define the start and end of the crises. In many cases, the crises may persist for months or even years, making it difficult for the risk manager to identify a time period that covers the essence of the crises, and yet is focused enough to constitute a plausible scenario. Therefore IV is false too. Only I is true, and the correct answer is Choice 'b'.

NEW QUESTION # 39
When the volatility of the yield for a bond increases, which of the following statements is true:

A. The VaR for the bond increases and its value stays the same
B. The VaR for the bond decreases and its value increases
C. The VaR for the bond decreases and its value is unaffected
D. The VaR for the bond increases and its value decreases

Answer: A

Explanation:
The VaR of a fixed income instrument is given by Duration x Volatility of the interest rate x z-factor corresponding to the confidence level. Therefore as the volatility of the yield goes up, the value at risk for the instrument goes up.
At the same time, the value of the bond is given by the present value of its future cash flows using the current yield curve. This value is unaffected by the volatility of the underlying interest rates. Therefore a change in volatility of interest rates does not affect the value of the bond.
Therefore Choice 'd' represents the correct answer.

NEW QUESTION # 40
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)

A. LGD * EE * PD
B. LGD * EPE * PD
C. LGD * ENE * PD
D. LGD * PFE * PD

Answer: B

Explanation:
The correct definition of CVA is LGD * EPE * PD. All other answers are incorrect.
CVA reflects the adjustment for counterparty default on derivative and other trading book transactions. This reflects the credit charge, that neeeds to be reduced from the expected value of the transaction to determine its true value. It is calculated as a product of the loss given default, the probability of default and the average weighted exposure of future EPEs across the time horizon for the transaction.
The future exposures need to be discounted to the present, and occasionally the equations for CVA will state that explicitly. Similarly, in some more advanced dynamic models the correlation between EPE and PD is also accounted for. The conceptual ideal though remains the same: CVA=LGD*EPE*PD.

NEW QUESTION # 41
......

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