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PRMIA Credit and Counterparty Manager (CCRM) Certificate Exam Sample Questions (Q136-Q141):

NEW QUESTION # 136
There are two bonds in a portfolio, each with a market value of $50m. The probability of default of the two bonds over a one year horizon are 0.03 and 0.08 respectively. If the default correlation is zero, what is the one year expected loss on this portfolio?

A. $11m
B. $1.38m
C. $5.26m
D. $5.5m

Answer: D

Explanation:
The probabilities of default of the two bonds are independent (as indicated by a zero default correlation). The various possible states of the portfolio are as follows:
First bond defaults, and the second does not: Probability * Loss = 0.03*0.92 * $50m = $1.38m Second bond defaults, and the first does not: Probability * Loss = 0.97*0.08 * $50m = $3.88m Both bonds default: Probability * Loss = 0.03*0.08 * $100m = $0.24m Thus total expected loss on this portfolio = $5.5m. Since recovery rates are not provided, those should be assumed to be zero.
There is an easier way to solve this as well: default correlation does not affect expected losses, but their volatility. You can calculate the expected losses of the two bonds and add them up, ie, $50m*0.03 + $50m *0.
08 = $5.5m

NEW QUESTION # 137
A bank holds $10m of a corporate debt that it has purchased CDS protection against. What is the impact on the short term liquidity of the bank in the event of a default by the corporate on its bonds?

A. A short term increase in available liquidity
B. An immediate reduction in available liquidity
C. Cannot be determined without information on recovery rates
D. No impact

Answer: A

Explanation:
The immediate impact of the default would be to improve the liquidity available in the short term due to the pay out from the CDSs.
It is also important to consider the impact on liquidity from the occurence of a default even in situations where CDS protection may not have been purchased. In such cases, there may be a nearer term payout in the form of the recovery rate. Of course, recovery payments are generally not realized for longer periods of time as court cases linger on, but there is a good likelihood that a payment, albeit lower in total, is likely to be realized sooner than the maturity of the bond in cases where the bond is a longer term bond. At the same time, any interest payments, and the final principal payment, which may have been included in liquidity projections, will not occur.

NEW QUESTION # 138
Which of the following cannot be used to address the issue of heavy tails when modeling market returns

A. Student's t-distribution
B. EVT
C. EWMA
D. Normal mixtures

Answer: C

Explanation:
Normal mixtures, EVT and the t-distribution are all possible solutions addressing the issue of heavy tails in financial returns.
EWMA and GARCH address volatility clustering, which is the other problem when doing risk calculations.
Therefore Choice 'b' is the correct answer as EWMA is not used to address heavy tails but volatility clustering.

NEW QUESTION # 139
What percentage of average annual gross income is to be held as capital for operational risk under the basic indicator approach specified under Basel II?

A. 0.125
B. 0.08
C. 0.15
D. 0.12

Answer: C

Explanation:
Banks using the basic indicator approach must hold 15% of the average annual gross income for the past three years, excluding any year that had a negative gross income. Therefore Choice 'd' is the correct answer.

NEW QUESTION # 140
Which of the following statements is true:

A. Total expected losses are equal to the sum of expected losses in the individual underlying exposures while total unexpected losses are less than the sum of unexpected losses on underlying exposures
B. Both total expected losses and total unexpected losses are less than the sum of expected and unexpected losses on underlying exposures respectively
C. Total expected losses are greater than the sum of individual underlying exposures while total unexpected losses are less than the sum of unexpected losses on underlying exposures
D. Total expected losses are equal to the sum of individual underlying exposures while total unexpected losses are greater than the sum of unexpected losses on underlying exposures

Answer: A

Explanation:
Total expected losses which are average and anticipated are equal to the sum of expected losses in the underlying exposures. Total unexpected losses, which are the excess of worst case losses at a certain confidence level over the expected losses, benefit from the diversification effect and are lower than the sum of unexpected losses of the underlying exposures. Therefore Choice 'c' is the correct answer. The other choices are incorrect.

NEW QUESTION # 141
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