8011 Authorized Exam Dumps & Valid 8011 Reliable Exam Answers Ensure You a High Passing Rate - 2Pass4sure
8011 Authorized Exam Dumps & Valid 8011 Reliable Exam Answers Ensure You a High Passing Rate - 2Pass4sure
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PRMIA 8011 CCRM Certificate is recognized globally as a benchmark for excellence in credit and counterparty risk management. It is a valuable credential for professionals who work in the financial services industry, including risk managers, credit analysts, portfolio managers, and traders. By earning this certification, individuals demonstrate their commitment to professional development and their expertise in credit and counterparty risk management.
PRMIA 8011 Certification Exam covers a wide range of topics related to credit and counterparty risk management, including credit analysis, credit risk measurement, credit risk models, counterparty risk management, credit derivatives, and structured finance. It also covers regulatory frameworks, such as Basel III, and the role of credit rating agencies in credit risk management.
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PRMIA 8011 Certification Exam covers a range of topics related to credit and counterparty risk management, including credit analysis, risk assessment, credit derivatives, collateral management, and default management. 8011 Exam is designed to test the candidate's understanding of these topics and their ability to apply them in real-world situations.
PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q79-Q84):
NEW QUESTION # 79
Which of the following statements are true in relation to Monte Carlo based VaR calculations:
I. Monte Carlo VaR relies upon a full revalution of the portfolio for each simulation II. Monte Carlo VaR relies upon the delta or delta-gamma approximation for valuation III. Monte Carlo VaR can capture a wide range of distributional assumptions for asset returns IV. Monte Carlo VaR is less compute intensive than Historical VaR
- A. I and III
- B. I, III and IV
- C. All of the above
- D. II and IV
Answer: A
Explanation:
Monte Carlo VaR computations generally include the following steps:
1. Generate multivariate normal random numbers, based upon the correlation matrix of the risk factors
2. Based upon these correlated random numbers, calculate the new level of the risk factor (eg, an index value, or interest rate)
3. Use the new level of the risk factor to revalue each of the underlying assets, and calculate the difference from the initial valuation of the portfolio. This is the portfolio P&L.
4. Use the portfolio P&L to estimate the desired percentile (eg, 99th percentile) to get and estimate of the VaR.
Monte Carlo based VaR calculations rely upon full portfolio revaluations, as opposed to delta/delta-gamma approximations. As a result, they are also computationally more intensive. Because they are not limited by the range of instruments and the properties they can cover, they can capture a wide range of distributional assumptions for asset returns. They also tend to provide more robust estimates for the tail, including portions of the tail that lie beyond the VaR cutoff.
Therefore I and III are true, and the other two are not.
NEW QUESTION # 80
There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds are 0.03 and 0.08 respectively, over a one year horizon. If the probability of the two bonds defaulting simultaneously is 1.4%, what is the default correlation between the two?
- A. 40%
- B. 0%
- C. 100%
- D. 25%
Answer: D
Explanation:
Probability of the joint default of both A and B =
A math equation with black text Description automatically generated
We know all the numbers except default correlation, and we can solve for it.
Default Correlation*SQRT(0.03*(1 - 0.03)*0.08*(1 - 0.08)) + 0.03*0.08 = 0.014.
Solving, we get default correlation = 25%
NEW QUESTION # 81
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
Explanation:
The correct answer is choice 'a'
Recall the formula for calculating variance under EWMA. See below. Therefore the correct answer is =SQRT ((1 - 0.93)*(LN(11/10))