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PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:
1. If A and B be two debt securities, which of the following is true?
A) The probability of simultaneous default of A and B is greatest when their default correlation is +1
B) The probability of simultaneous default of A and B is greatest when their default correlation is 0
C) The probability of simultaneous default of A and B is greatest when their default correlation is negative
D) The probability of simultaneous default of A and B is not dependent upon their default correlations, but on their marginal probabilities of default
2. For a corporate issuer, which of the following can be used to calculate market implied default probabilities?
I. CDS spreads
II. Bond prices
III. Credit rating issued by S&P
IV. Altman's scoring model
A) III and IV
B) II and III
C) I, II and III
D) I and II
3. When the volatility of the yield for a bond increases, which of the following statements is true:
A) The VaR for the bond increases and its value stays the same
B) The VaR for the bond increases and its value decreases
C) The VaR for the bond decreases and its value is unaffected
D) The VaR for the bond decreases and its value increases
4. All else remaining the same, an increase in the joint probability of default between two obligors causes the default correlation between the two to:
A) Decrease
B) Cannot be determined from the given information
C) Stay the same
D) Increase
5. Which of the following are considered counterparty based credit enhancements?
I. Collateral
II. Credit default swaps
III. Close out netting arrangements
IV. Guarantees
A) I, II and IV
B) II and IV
C) I and IV
D) I and III
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: D | Question # 3 Answer: A | Question # 4 Answer: D | Question # 5 Answer: B |




