100% PASS-RATE 8011 UPDATED CBT & LEADING OFFER IN QUALIFICATION EXAMS & FANTASTIC 8011: CREDIT AND COUNTERPARTY MANAGER (CCRM) CERTIFICATE EXAM

100% Pass-Rate 8011 Updated CBT & Leading Offer in Qualification Exams & Fantastic 8011: Credit and Counterparty Manager (CCRM) Certificate Exam

100% Pass-Rate 8011 Updated CBT & Leading Offer in Qualification Exams & Fantastic 8011: Credit and Counterparty Manager (CCRM) Certificate Exam

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PRMIA 8011: Credit and Counterparty Manager (CCRM) Certificate Exam is designed to test the knowledge and skills of professionals in credit and counterparty risk management. The test assesses the comprehension of the concepts and technical analysis involved in credit risk management and the application of that knowledge to real-life scenarios. 8011 exam covers topics such as credit analysis techniques, credit risk models, risk quantification and measurement, asset quality assessment, portfolio optimization, and counterparty risk management.

The Credit and Counterparty Manager (CCRM) Certificate is an esteemed certification exam administered by the Professional Risk Managers' International Association (PRMIA). It aims to equip professionals with the necessary knowledge and skills to navigate credit risk management and counterparty credit risk.

The Professional Risk Manager's International Association (PRMIA) is a global non-profit organisation dedicated to promoting sound risk management standards and practices throughout the financial industry. As part of their goal, the association offers various certifications designed to benefit risk professionals in pursuing their career goals. Among these is the PRMIA 8011 or Credit and Counterparty Manager (CCRM) Certificate exam.

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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q314-Q319):

NEW QUESTION # 314
Ex-ante VaR estimates may differ from realized P&L due to:
I. the effect of intra day trading
II. timing differences in the accounting systems
III. incorrect estimation of VaR parameters
IV. security returns exhibiting mean reversion

  • A. I, II and IV
  • B. II, III and IV
  • C. I and III
  • D. I, II and III

Answer: D

Explanation:
Ex-ante VaR calculations can differ from actual realized P&L due to a large number of reasons. I, II and III represent some of them. Mean reversion however has nothing to do with VaR estimates differing from actual P&L. Therefore Choice 'c' is the correct answer.


NEW QUESTION # 315
If the systematic VaR for an equity portfolio is $100 and the specific VaR is $80, then which of the following is true in relation to the total VaR:

  • A. Total VaR is less than $180
  • B. Total VaR is $20
  • C. Total VaR is greater than $180
  • D. Total VaR is $180

Answer: A

Explanation:
Choice 'd' is correct because VaR is sub-additive in cases where correlation is less than one.
Specific VaR refers to the risk in the portfolio from security selection, ie the risk from holding the specific equities in the portfolio, while systematic risk refers to the market risk. Definitionally, specific risk and systematic risk are uncorrelated, ie their correlation is zero. Since their correlation is zero, combining them will produce a VaR number lower than their stand alone aggregate. Total risk includes both specific risk and systematic risk, and can be calculated taking into account the specific and systematic VaRs and their correlation.
All other answers are therefore incorrect.


NEW QUESTION # 316
A bank prices retail credit loans based on median default rates. Over the long run, it can expect:

  • A. Overestimation of risk and overpricing, leading to loss of market share
  • B. A reduction in the rate of defaults
  • C. Underestimation and therefore underpricing of risk in it retail portfolio
  • D. Correct pricing of risk in the retail credit portfolio

Answer: C

Explanation:
The key to pricing loans is to make sure that the prices cover expected losses. The correct measure of expected losses is the mean, and not the median. To the extent the median is different from the mean, the loans would be over or underpriced.
The loss curve for credit defaults is a distribution skewed to the right. Therefore its mode is less than its median which is less than its mean. Since the median is less than the mean, the bank is pricing in fewer losses than the mean, which means over the long run it is underestimating risk and underpricing its loans. Therefore Choice 'd' is the correct answer.
If on the other hand for some reason the bank were overpricing risk, its loans would be more expensive than its competitors and it would lose market share. In this case however, this does not apply. Loan pricing decisions are driven by the rate of defaults, and not the other way round, therefore any pricing decisions will not reduce the rate of default.


NEW QUESTION # 317
Which of the following is not true about the ISDA master agreement (ISDA MA):

  • A. The ISDA MA describes the close out process
  • B. The ISDA MA describes events of default, and termination events
  • C. The CSA (Credit Support Annex) is one of the parts of the ISDA MA
  • D. All transactions under the ISDA MA are considered separate obligations

Answer: D

Explanation:
The ISDA MA provides a template that can be used by market participants to document derivative transactions. It has a core section that applies always, and various schedules that can be agreed to by the parties. The ISDA MA considerably facilitates closing transactions once the ISDA MA has been has been negotiated, without requiring a renegotiation each time.
A key feature of the ISDA MA is that it binds all transactions into a single net obligation. The ISDA Master
2002 states that "All transactions are entered into in reliance on the fact that this Master Agreement and all Confirmations form a single agreement between the parties ... and the parties would not otherwise enter into any Transactions." Therefore transactions under the ISDA MA are not considered separate obligations.
The ISDA MA does indeed define close out processes, default and termination events, and the CSA is one of the parts of the MA that describes the collateral related agreement.


NEW QUESTION # 318
Which of the following statements is true in relation to collateral management?
I. A collateral management system need not consider the failure by counterparties to returncollateral when due II. The extent to which counterparties may have rehypothecated collateral is not a consideration for a collateral management system III. Cash is an acceptable substitute for any type of collateral required to be posted IV. Haircuts do not apply to treasury issued instruments posted as collateral

  • A. II and III
  • B. None of the statements is true
  • C. I, II and III
  • D. I, II, III and IV

Answer: B

Explanation:
Strong management of collateral, both receivable and payable, is emerging as an area requiring significant investment by financial institutions and asset managers in IT infrastructures and business processes. A bank needs to make collateral calls daily, based upon the P&L of the previous day, and likewise receives collateral calls from its counterparties. Just like cash, a bank needs to make sure that it does not run out of collateral to post when a call is received. Interestingly, based upon the agreements between banks and their mutual understanding, only certain types of instruments often qualify as valid collateral - and in such cases even cash is not acceptable if the right type of bond or other agreed security is not available to post. The operational challenges of managing collateral increase manifold due to 'rehypothecation', ie when collateral received from one counterparty gets posted out as collateral where it is due. In such cases, the bank should have the mechanisms to receive the right assets back in a timely way in case rehypothecated assets are to be returned.
The systems should be able to deal with delays, failures without impacting the ability of the bank to post collateral as needed. All of this requires major investments in IT and processes.
Statement I is not true as a bank is bound to post collateral to third parties when needed regardless of the failure of its counterparties to post collateral to it when owed. In the markets, failures by counterparties can and do happen, and a collateral management system needs to account for and keep a buffer for the fact that some collateral when due will not be received.
Statement II is not true as rehypothecation by counterparties of collateral posted increases the chances of the collateral not being received in time. The system should consider the need for liquidity to generate assets that can be posted as collateral when others have failed to return the collateral in a timely way.
Statement III is not correct as cash may not be acceptable to counterparties as collateral. From a practical point of view, they may not have the infrastructure to receive and account for cash as collateral. A Swiss bank, for example, may have an 'account' to receive US t-bills as collateral but may not even have a US dollar account to receive cash. Even if it did, the volumes of transactions going back and forth may make tracking and reconciliations impossible. Thus a bank should always make sure that it has the right type of collateral available to post.
Statement IV is incorrect as well, as treasury issued instruments are also subject to haircuts. Their value also fluctuates in response to changes in yields, and therefore they are subject to haircuts as well.
Thus none of the statements are correct and Choice 'd' is the correct answer.


NEW QUESTION # 319
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