PRMIA Exam 8010 Topic 1 Question 69 Discussion

Actual exam question for PRMIA's 8010 exam

Question #: 69
Topic #: 1

[All 8010 Questions]

For credit risk calculations, correlation between the asset values of two issuers is often proxied with:

ACredit migration matrices

BTransition probabilities

CEquity correlations

DDefault correlations

Show Suggested Answer

Suggested Answer: D

Choice 'b', Choice 'c' and Choice 'a' correctly describe a bilateral close out netting as recommended by the ISDA. However Choice 'd' is not correct as it suggests individual settlement of transactions without netting which is the whole point of bilateral close out netting.

by Anastacia at Mar 20, 2025, 08:15 PM

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Lachelle

20 days ago

This is a classic case of 'the more you know, the more you realize you don't know'. I'm going with D) Default correlations, but I'm open to being corrected if I'm missing something!

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Fausto

22 days ago

Haha, if only the answer was 'E) Horoscope correlations' - that would really spice things up! But seriously, I agree that D) Default correlations is the way to go here.

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Micaela

23 days ago

I was debating between C) Equity correlations and D) Default correlations, but I ultimately went with D. Seems like the more direct approach for this kind of analysis.

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Karma

2 days ago

I chose D) Default correlations as well. It's a common proxy for correlation in credit risk calculations.

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2 months ago

I think the answer is D) Default correlations.

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