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PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. Which of the following statements are true:
I. Top down approaches help focus management attention on the frequency and severity of loss events, while bottom up approaches do not.
II. Top down approaches rely upon high level data while bottom up approaches need firm specific risk data to estimate risk.
III. Scenario analysis can help capture both qualitative and quantitative dimensions of operational risk.
A) II only
B) I only
C) III only
D) II and III
2. Which of the following objectives are targeted by rating agencies when assigning ratings:
I. Ratings accuracy
II. Ratings stability
III. High accuracy ratio (AR)
IV. Ranked ratings
A) I, II and III
B) I and II
C) III and IV
D) II and III
3. Which of the following is true in relation to the application of Extreme Value Theory when applied to operational risk measurement?
I. EVT focuses on extreme losses that are generally not covered by standard distribution assumptions II. EVT considers the distribution of losses in the tails III. The Peaks-over-thresholds (POT) and the generalized Pareto distributions are used to model extreme value distributions IV. EVT is concerned with average losses beyond a given level of confidence
A) I, II and III
B) I and IV
C) I, II and IV
D) II and III
4. As part of designing a reverse stress test, at what point should a bank's business plan be considered unviable (ie the point where it can be considered to have failed)?
A) Where EBITDA for the year is forecast to be negative
B) Where large known losses have been incurred on the bank's positions
C) When the realization of risks leads market participants to lose confidence in the bank as a counterparty or a business worthy of funding
D) When the regulatory capital of the bank has been exhausted
5. The VaR of a portfolio at the 99% confidence level is $250,000 when mean return is assumed to be zero. If the assumption of zero returns is changed to an assumption of returns of $10,000, what is the revised VaR?
A) 240000
B) 260000
C) 273260
D) 226740
Solutions:
Question # 1 Answer: D | Question # 2 Answer: B | Question # 3 Answer: A | Question # 4 Answer: C | Question # 5 Answer: A |

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