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PRMIA 8008 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| ALM & FTP | 10% | - Funds Transfer Pricing Methodology & Application - Interest Rate Risk in the Banking Book - Asset-Liability Management Principles - Liquidity Risk Management |
| Risk Management Frameworks | 20% | - Regulatory Frameworks & Basel Accords - Risk Governance & Culture - Risk Measurement Methodologies - Enterprise Risk Management Principles |
| Counterparty Risk | 15% | - Netting, Collateral & Margining - Counterparty Credit Risk Fundamentals - Potential Future Exposure - Credit Value Adjustment (CVA) & Wrong-way Risk |
| Operational Risk | 20% | - Definition & Scope - Risk Identification & Assessment - Capital Requirements & Advanced Measurement Approaches - Control & Mitigation Techniques |
| Credit Risk | 20% | - Credit Risk Modeling & Capital Calculation - Loss Given Default & Credit Valuation Adjustment - Exposure & Probability of Default - Credit Risk Concepts |
| Market Risk | 15% | - Regulatory Capital for Market Risk - Interest Rate, Equity, FX & Commodity Risk - Market Risk Factors & Drivers - Value-at-Risk (VaR) & Stress Testing |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
Question 1
Stress testing is useful for which of the following purposes:
I. For providing the risk manager with an intuitive check on his risk estimates II. Providing a means of communicating risk implications using plausible scenarios that can be easily explained to a non-technical audience III. Guarding against major errors in the form of model risk IV. Complying with the requirements of Basel II.
A. I, II and IV
B. I, II, III and IV
C. II and IV
D. IV only
Question 2
If A and B be two debt securities, which of the following is true?
A. The probability of simultaneous default of A and B is greatest when their default correlation is negative
B. The probability of simultaneous default of A and B is greatest when their default correlation is +1
C. The probability of simultaneous default of A and B is greatest when their default correlation is 0
D. The probability of simultaneous default of A and B is not dependent upon their default correlations, but on their marginal probabilities of default
Question 3
For a given notional amount, which of the following carries the greatest counterparty exposure (assuming the same counterparty credit rating for each):
A. A one year interest rate swap
B. A one year forward foreign exchange contract
C. A one year certificate of deposit
D. A futures contract on an equity index
Question 4
Altman's Z-score does not consider which of the following ratios:
A. Working capital to total assets
B. Net income to total assets
C. Market capitalization to debt
D. Sales to total assets
Question 5
The unexpected loss for a credit portfolio at a given VaR estimate is defined as:
A. VaR - Expected Loss
B. Actual Loss - VaR
C. Actual Loss - Expected Loss
D. max(Actual Loss - Expected Loss, 0)
Solutions:
| Question 1 Answer: B | Question 2 Answer: B | Question 3 Answer: C | Question 4 Answer: B | Question 5 Answer: A |




