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The CCRM certification exam covers a range of topics related to credit and counterparty risk management, including credit analysis, credit risk measurement and mitigation, credit derivatives, counterparty risk management, and regulatory frameworks. It is a comprehensive exam that requires a strong grasp of both theoretical concepts and practical applications.

PRMIA 8011 Certification Exam is a highly specialized certification that is designed to provide professionals with the knowledge and skills needed to manage credit and counterparty risk effectively. It covers a range of topics related to credit and counterparty risk and is intended for professionals who work in the financial industry. Credit and Counterparty Manager (CCRM) Certificate Exam certification is highly valued in the financial industry and is recognized by many leading financial institutions around the world.

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PRMIA 8011 (Credit and Counterparty Manager (CCRM) Certificate) Exam is a certification program designed for professionals who work in the credit and counterparty risk management field. 8011 exam is offered by the Professional Risk Managers' International Association (PRMIA), a non-profit organization that provides training, certification, and networking opportunities for risk management professionals worldwide. The CCRM certificate program aims to equip professionals with the knowledge and skills necessary to manage credit and counterparty risk effectively in a dynamic and complex financial environment.

PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q10-Q15):

NEW QUESTION # 10
Which of the following techniques is used to generate multivariate normal random numbers that are correlated?

• A. Simulation
• B. Markov process
• C. Cholesky decomposition of the correlation matrix
• D. Pseudo random number generator

Answer: C

Explanation:
A PRNG (pseudo random number generators of the kind included in statistical packages and Excel) is used to generate random numbers that are not correlated with each other, ie they are random. A Markov process is a stochastic model that depends only upon its current state. Simulation underlies many financial calculations.
None of these directly relate to generating correlated multivariate normal random numbers. That job is done utilizing a Cholesky decomposition of the correlation matrix.
Specifically, a Cholesky decomposition involves the factorization of the correlation matrix into a lower triangular matrix (a square matrix all of whose entries above the diagonal are zero) and its transpose. This can then be combined with random numbers to generate a set of correlated normal random numbers. This technique is used for calculating Monte Carlo VaR.

NEW QUESTION # 11
As the persistence parameter under GARCH is lowered, which of the following would be true:

• A. The model will give lower weight to recent returns
• B. The model will react faster to market shocks
• C. High variance from the recent past will persist for longer
• D. The model will react slower to market shocks

Answer: B

Explanation:
The persistence parameter, #, is the coefficient of the most recent day's returns in GARCH calculations. A higher value of the persistence parameter tends to 'persist' the prior value of variance for longer. Consider an extreme example - if the persistence parameter is equal to 1, the variance under GARCH will never change in response to returns.
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NEW QUESTION # 12
For a loan portfolio, unexpected losses are charged against:

• A. Regulatory capital
• B. Credit reserves
• C. Economic capital
• D. Economic credit capital

Answer: D

Explanation:
Credit reserves are created in respect of expected losses, which are considered the cost of doing business.
Unexpected losses are borne by economic credit capital, which is a part of economic capital. This question is a bit nuanced - and 'economic capital' would generally be a good answer aswell. However, taking a rather beady eyed view of the terminology and distinguishing between 'economic credit capital' which is a subset of
'economic capital', we can say that 'economic credit capital' is a more appropriate Choice 'a's the question relates to credit losses.

NEW QUESTION # 13
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?

• A. 9%
• B. 18%
• C. 4%
• D. 2%

Answer: A

Explanation:
The actuarial or CreditRisk+ model considers default as an 'end of game' event modeled by a Poisson distribution. The annual number of defaults is a stochastic variable with a mean of#and standard deviation equal to ##.
The probability of n defaults is given by (#