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PRMIA 8008 Exam Syllabus Topics:
Section
Objectives
Funds Transfer Pricing (FTP)
- FTP Framework and Methodologies
- FTP Implementation and Governance
Risk Management Frameworks
- Governance and Risk Culture
- Enterprise Risk Management Principles
Counterparty Risk
- Counterparty Exposure and Collateral Management
- Pre-Settlement and Settlement Risk
Credit Risk
- Credit Risk Mitigation and Management
- Credit Risk Analysis and Measurement
Market Risk
- Market Risk Measurement Techniques
- Market Risk Models and VAR
Operational Risk
- Operational Risk Measurement and Controls
- Operational Risk Identification and Assessment
Asset-Liability Management (ALM)
- Interest Rate Risk in the Banking Book
- Liquidity and Funding Risk Management
What would be the correct order of steps to addressing data quality problems in an organization?
A. Articulate goals, do a 'strategy-fit' analysis and plan for action
B. Design the future state, perform a gap analysis, analyze the current state and implement the future state
C. Assess the current state, design the future state, determine gaps and the actions required to be implemented to eliminate the gaps
D. Call in external consultants
Answer: C
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The probability of default of a security over a 1 year period is 3%. What is the probability that it would have defaulted within 6 months?
A. 98.49%
B. 1.51%
C. 3.00%
D. 17.32%
Answer: B
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A long position in a credit sensitive bond can be synthetically replicated using:
A. a long position in a treasury bond and a long position in a CDS
B. a long position in a treasury bond and a short position in a CDS
C. a short position in a treasury bond and a short position in a CDS
D. a short position in a treasury bond and a long position in a CDS
Answer: B
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The risk that a counterparty fails to deliver its obligation upon settlement while having received the leg owed to it is called:
A. Replacement risk
B. Credit risk
C. Settlement risk
D. Pre-settlement risk
Answer: C
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A stock's volatility under EWMA is estimated at 3.5% on a day its price is $10. The next day, the price moves to $11. What is the EWMA estimate of the volatility the next day? Assume the persistence parameter = 0.93.
A. 0.0018
B. 0.0224
C. 0.0421
D. 0.0429
Answer: C
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