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PRMIA 8008 Exam Syllabus Topics:
| Section | Weight | Objectives |
|---|---|---|
| Counterparty Risk | 15% | - Credit Value Adjustment (CVA) & Wrong-way Risk - Counterparty Credit Risk Fundamentals - Potential Future Exposure - Netting, Collateral & Margining |
| Credit Risk | 20% | - Exposure & Probability of Default - Loss Given Default & Credit Valuation Adjustment - Credit Risk Modeling & Capital Calculation - Credit Risk Concepts |
| Market Risk | 15% | - Interest Rate, Equity, FX & Commodity Risk - Value-at-Risk (VaR) & Stress Testing - Regulatory Capital for Market Risk - Market Risk Factors & Drivers |
| ALM & FTP | 10% | - Funds Transfer Pricing Methodology & Application - Liquidity Risk Management - Asset-Liability Management Principles - Interest Rate Risk in the Banking Book |
| Risk Management Frameworks | 20% | - Enterprise Risk Management Principles - Risk Governance & Culture - Risk Measurement Methodologies - Regulatory Frameworks & Basel Accords |
| Operational Risk | 20% | - Control & Mitigation Techniques - Risk Identification & Assessment - Definition & Scope - Capital Requirements & Advanced Measurement Approaches |
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
Fill in the blank in the following sentence:
Principal component analysis (PCA) is a statistical tool to decompose a ____________ matrix into its principal components and is useful in risk management to reduce dimensions.
- A. Volatility
- B. Positive semi-definite
- C. Correlation
- D. Covariance
Correct Answer: B 🗳️
Explanation: Only visible for Prep4SureReview members. You can sign-up / login (it's free).
Which of the following need to be assumed to convert a transition probability matrix for a given time period to the transition probability matrix for another length of time:
I. Time invariance
II. Markov property
III. Normal distribution
IV. Zero skewness
- A. III and IV
- B. I, II and IV
- C. I and II
- D. II and III
Correct Answer: C 🗳️
Explanation: Only visible for Prep4SureReview members. You can sign-up / login (it's free).
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. Sales to total assets
- D. Market capitalization to debt
Correct Answer: B 🗳️
Explanation: Only visible for Prep4SureReview members. You can sign-up / login (it's free).
The sum of the stand alone economic capital of all the business units of a bank is:
- A. unrelated to the economic capital for the firm as a whole
- B. more than the economic capital for the firm as a whole
- C. equal to the economic capital for the firm as a whole
- D. less than the economic capital for the firm as a whole
Correct Answer: B 🗳️
Explanation: Only visible for Prep4SureReview members. You can sign-up / login (it's free).
The backtesting of VaR estimates under the Basel accord requires comparing the ex-ante VaR to:
- A. hypothetical profit and loss keeping the positions constant
- B. realized profit and loss for the period
- C. ex-ante VaR calculated for the subsequent periods
- D. the Basel accord does not require banks to backtest VaR estimates
Correct Answer: B 🗳️
Explanation: Only visible for Prep4SureReview members. You can sign-up / login (it's free).







