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PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. A risk analyst peforming PCA wishes to explain 80% of the variance. The first orthogonal factor has a volatility of 100, and the second 40, and the third 30. Assume there are no other factors. Which of the factors will be included in the final analysis?
A) First
B) Insufficient information to answer the question
C) First and Second
D) First, Second and Third
2. Under the credit migration approach to assessing portfolio credit risk, which of the following are needed to generate a distribution of future portfolio values?
A) All of the above
B) The forward yield curve
C) A rating migration matrix
D) A specified risk horizon
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) II and III
C) I, II and IV
D) I and IV
4. The Altman credit risk score considers:
A) A quadratic approximation of the credit risk based on underlying risk factors
B) A historical database of the firms that have survived
C) A historical database of the firms that have defaulted
D) A combination of accounting measures and market values
5. Under the standardized approach to calculating operational risk capital, how many business lines are a bank's activities divided into per Basel II?
A) 12
B) 7
C) 8
D) 15
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: A | Question # 3 Answer: A | Question # 4 Answer: D | Question # 5 Answer: C |





