- Exam Code: 8011
- Exam Name: Credit and Counterparty Manager (CCRM) Certificate Exam
- Updated: Oct 11, 2026
- Q & A: 330 Questions and Answers
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| Section | Objectives |
|---|---|
| Topic 1: Credit Portfolio Management | - Portfolio credit risk measurement - Risk concentration and diversification |
| Topic 2: CVA and DVA | - Valuation adjustments - Measurement and interpretation |
| Topic 3: Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Topic 4: Classic Credit Risk | - Credit risk methodology
|
| Topic 5: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 6: Counterparty Risk | - Definition and sources of counterparty risk - Mitigation techniques (netting, collateral) |
| Topic 7: Modern Credit Risk Modeling | - PD/LGD modeling frameworks - Credit VaR and loss distribution simulation |
When performing portfolio stress tests using hypothetical scenarios, which of the following is not generally a challenge for the risk manager?
Correct Answer: A 🗳️
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If the cumulative default probabilities of default for years 1 and 2 for a portfolio of credit risky assets is 5% and 15% respectively, what is the marginal probability of default in year 2 alone?
Correct Answer: A 🗳️
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If X represents a matrix with ratings transition probabilities for one year, the transition probabilities for 3 years are given by the matrix:
Correct Answer: C 🗳️
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Which of the following statements are true:
I. Stress tests should consider simultaneous pressures in funding and asset markets, and the impact of a reduction in liquidity II. Judging the effectiveness of risk mitigation techniques is not a part of stress testing III. A reverse stress test is useful for discovering hidden vulnerabilities and inconsistencies in hedging strategies IV. Reputational risk, which is explicitly excluded from the definition of operational risk under Basel II, should still be considered as part of stress tests.
Correct Answer: C 🗳️
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What ensures that firms are not able to selectively default on some obligations without being considered in default on the others?
Correct Answer: A 🗳️
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