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PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:

1. The accuracy of a VaR estimate based on a Monte carlo simulation of portfolio prices is affected by:
I). The shape of the distribution of portfolio values
II). The number simulations carried out
III). The confidence level selected for the VaR estimate

A) I, II and III
B) II and III
C) II
D) III

2. CreditRisk+, the actuarial model for calculating portfolio credit risk, is based upon:

A) the normal distribution
B) the log-normal distribution
C) the exponential distribution
D) the Poisson distribution

3. Which of the following would not be a part of the principal component structure of the term structure of futures prices?

A) Trend component
B) Parallel component
C) Tilt component
D) Curvature component

4. The largest 10 losses over a 250 day observation period are as follows. Calculate the expected shortfall at a
98% confidence level:
20m
19m
19m
17m
16m
13m
11m
10m
9m
9m

A) 18.2
B) 14.3
C) 19.5
D) 16

5. Which of the following is true for the actuarial approach to credit risk modeling (CreditRisk+):

A) The approach is based upon historical rating transition matrices
B) The approach considers only default risk, and ignores the risk to portfolio value from credit downgrades
C) Default correlations between obligors are accounted for using a multivariate normal model
D) The number of defaults is modeled using a binomial distribution where the number of defaults are considered discrete events

Solutions: