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

1. The sensitivity (delta) of a portfolio to a single point move in the value of the S&P500 is $100. If the current level of the S&P500 is 2000, and has a one day volatility of 1%, what is the value-at-risk for this portfolio at the 99% confidence and a horizon of 10 days? What is this method of calculating VaR called?

A) $4,660, Monte Carlo simulation VaR
B) $4,660, parametric VaR
C) $14,736, parametric VaR
D) $14,736, historical simulation VaR

2. A corporate bond maturing in 1 year yields 8.5% per year, while a similar treasury bond yields 4%. What is the probability of default for the corporate bond assuming the recovery rate is zero?

A) Cannot be determined from the given information
B) 4.50%
C) 8.50%
D) 4.15%

3. The principle underlying the contingent claims approach to measuring credit risk equates the cost of eliminating credit risk for a firm to be equal to:

A) the probability of the firm's assets falling below the critical value for default
B) the value of a put on the firm's assets with a strike equal to the value of the debt
C) the cost of a call on the firm's assets with a strike equal to the value of the debt
D) the market valuation of the firm's equity less the value of its liabilities

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) 16
C) 19.5
D) 14.3

5. The cumulative probability of default for a security for 4 years is 11.47%. The marginal probability of default for the security for year 5 is 5% during year 5. What is the cumulative probability of default for the security for 5 years?

A) 15.90%
B) 5.00%
C) 16.47%
D) None of the above

Solutions: