PRMIA 8011 - Credit and Counterparty Manager (CCRM) Certificate Exam
- Exam Code: 8011
- Exam Name: Credit and Counterparty Manager (CCRM) Certificate Exam
- Updated: Oct 05, 2026
- Q & A: 330 Questions and Answers
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| Section | Objectives |
|---|---|
| Counterparty Risk | - Definition and sources of counterparty risk - Mitigation techniques (netting, collateral) |
| SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Classic Credit Risk | - Credit risk methodology
|
| Credit Derivatives and Securitization | - Credit derivatives instruments - Securitization structures and process |
| Credit Portfolio Management | - Risk concentration and diversification - Portfolio credit risk measurement |
| CVA and DVA | - Valuation adjustments - Measurement and interpretation |
| Modern Credit Risk Modeling | - PD/LGD modeling frameworks - Credit VaR and loss distribution simulation |
All else remaining the same, an increase in the joint probability of default between two obligors causes the default correlation between the two to:
Correct Answer: D 🗳️
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Under the actuarial (or CreditRisk+) based modeling of defaults, what is the probability of 4 defaults in a retail portfolio where the number of expected defaults is 2?
Correct Answer: A 🗳️
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If the default hazard rate for a company is 10%, and the spread on its bonds over the risk free rate is 800 bps, what is the expected recovery rate?
Correct Answer: A 🗳️
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Which of the following statements are true:
I. It is usual to set a very high confidence level when estimating VaR for capital requirements.
II. For model validation, very high VaR confidence levels are used to minimize excess losses.
III. For limit setting for managing day to day positions, it is usual to set VaR confidence levels that are neither too low to be exceeded too often, nor too high as to be never exceeded.
IV. The Basel accord requirements for market risk capital require the use of a time horizon of 1 year.
Correct Answer: A 🗳️
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Which of the following credit risk models focuses on default alone and ignores credit migration when assessing credit risk?
Correct Answer: D 🗳️
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