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PRMIA 8008 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Asset-Liability Management (ALM) | - Interest rate risk in the banking book (IRRBB) - Liquidity risk management |
| Funds Transfer Pricing (FTP) | - FTP methodologies - Internal pricing of funds and liquidity allocation |
| Credit Risk | - Credit risk measurement and modeling
|
| Risk Management Frameworks | - Enterprise risk management principles
|
| Counterparty Risk | - Counterparty credit exposure - Derivatives credit risk considerations - Netting and collateral management |
| Operational Risk | - Operational risk types and sources - Operational risk management techniques
|
| Market Risk | - Interest rate, equity, FX, and commodity risk - Market risk measurement techniques
|
PRMIA PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition Sample Questions:
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 increases and its value decreases
- D. The VaR for the bond decreases and its value is unaffected
Correct Answer: A 🗳️
Explanation: Only visible for TestPassed members. You can sign-up / login (it's free).
Which of the following are valid approaches for extreme value analysis given a dataset:
I. The Block Maxima approach
II. Least squares approach
III. Maximum likelihood approach
IV. Peak-over-thresholds approach
- A. II and III
- B. I and IV
- C. All of the above
- D. I, III and IV
Correct Answer: B 🗳️
Explanation: Only visible for TestPassed members. You can sign-up / login (it's free).
In estimating credit exposure for a line of credit, it is usual to consider:
- A. the full value of the credit line to be the exposure at default as the borrower has an informational advantage that will lead them to borrow fully against the credit line at the time of default.
- B. the present value of the line of credit at the agreed rate of lending.
- C. a fixed fraction of the line of credit to be the exposure at default even though the currently drawn amount is quite different from such a fraction.
- D. only the value of credit exposure currently existing against the credit line as the exposure at default.
Correct Answer: C 🗳️
Explanation: Only visible for TestPassed members. You can sign-up / login (it's free).
Which of the following statements is true:
I. Confidence levels for economic capital calculations are driven by desired credit ratings II. Loss distributions for operational risk are affected more by the severity distribution than the frequency distribution III. The Advanced Measurement Approach (AMA) referred to in the Basel II standard is a type of a Loss Distribution Approach (LDA) IV. The loss distribution for operational risk under the LDA (Loss Distribution Approach) is estimated by separately estimating the frequency and severity distributions.
- A. I, II and IV
- B. III and IV
- C. I, III and IV
- D. I and II
Correct Answer: A 🗳️
Explanation: Only visible for TestPassed members. You can sign-up / login (it's free).
For an equity portfolio valued at V whose beta is , the value at risk at a 99% level of confidence is represented by which of the following expressions? Assume represents the market volatility.
- A. 2.326 x V x /
- B. 2.326 x x V x
- C. 1.64 x V x /
- D. 1.64 x x V x
Correct Answer: B 🗳️
Explanation: Only visible for TestPassed members. You can sign-up / login (it's free).




