The Professional Risk Manager Program (PRM) tarafından 140 ülkede toplam 4,000 sınav merkezinde bilgisayar ortamında düzenlenen sınavlarda başarılı olan adaylar The Professional Risk Managers’ International Association (PRMIA) tarafından risk dalında uzmanlıklarını belgeleyen sertifikaları düzelenmektedir.
İki yıllık süre içerisinde dört konu başlıgında düzenlenen sınavda başarılı olunması gerekmektedir.Sınav ücreti bir defalık sınav için 195 USD ödenmesi gerekmekte. Bütün PRM sınavına katılım içinde 500 USD ödenmesi gerekmekte. Sınav toplam 120 sorudan oluşmakta ve bilgisayar rastgele soruları seçmektedir.Türkiye’de 10dan fazla merkezde PRM sınavı alınabilmekte. Sınav Yapısı:
Aşağıda belirtilen lisansa sahip kişiler PRM sınavının bazı bölümünden muhaf tutulabilmektedir.
| PRM Professional Risk Manager Certification |
| |
| Exam Structure: |
| Exam I: Finance Theory, Financial Instruments and Markets (120 minutes) |
| Exam II: Mathematical Foundations of Risk Measurement (120 minutes) |
| Exam III: Risk Management Practices (90 minutes) |
| Exam IV: Case Studies, PRMIA Standards of Best Practice, Conduct and Ethics, (60mın) |
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| Exam 1: FINANCE THEORY,FINANCIAL INSTRUMENTS |
| AND MARKETS |
| |
| 1. Risk and Risk Aversion |
| 2. Portfolio Mathematics |
| 3. Capital Allocation |
| 4. The CAPM and Multifactor Models |
| 5. Basics of Capital Structure |
| 6. The Term Structure of Interest Rates |
| 7. Valuing Futures and Forwards |
| 8. Principles of Option pricing |
| 9. Bonds |
| 10.Floating Rate Notes |
| 11.Futures and Forwards |
| 12.Swaps |
| 13.Options |
| 14.Credit Derivatives |
| 15.Caps, Floors, Swaptions |
| 16.Capital Markets |
| 17.Money Market |
| 18.Bond Markets |
| 19.FX Market |
| 20.Stock Markets |
| 21.Futures Market |
| 22.Commodities Markets |
| 23. Power Markets |
| |
| Exam 2: MATHEMATICAL FOUNDATIONS OF |
| RISK MEASUREMENT |
| 1. Foundations |
| 2. Descriptive Statistics |
| 3. Calculus |
| 4. Linear Mathematics and Matrix Algebra |
| 5. Probability Theory |
| 6. Regression |
| 7. Numerical Methods |
| |
| Exam 3: RISK MANAGEMENT PRACTICES |
| 1. Duration and Convexity |
| 2. Cash Flow Maps and PVBP Interest Rate Sensitivity |
| 3. Greeks of Instruments and Portfolios |
| 4. Implied Volatility and Smile, Smirk |
| 5. Value-at-Risk (VaR) |
| 6. Calculation of VaR for Linear Portfolios |
| 7. Monte Carlo and Historical Calculation of VAR |
| 8. Market Risk Limits (stop-loss, exposure, VAR |
| 9. Alternative Risk Measures |
| 10. Market Risk- RAROC & Economic Capital Allocation |
| 11. Operational Risk |
| 12. Overview of Credit Risk |
| 13. Actuarial Methods |
| 14. Exposure, Loss Given Default (LGD) and Expected Losses |
| 15. Rating Agencies and their Grades |
| 16. Settlement Risk and Netting Systems |
| 17. Marginal, Cumulative Default Risk |
| 18. Transition Matrix, Joint Transition Matrix and |
| Correlated Migrations |
| 19. Recovery Rate Distributions |
| 20. Merton and KMV Models |
| 21. Credit Risk- RAROC & Economic |
| Capital Allocation |
| |
| Exam 4: CASE STUDIES, |
| PRMIA STANDARDS OF BEST PRACTICE |
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| 1. Barings |
| 2. Metallgesellschaft |
| 3. LTCM |
| 4. World Com |
| 5. Credit Lyonnais |
| 6. Bankers Trust |
| 7. Daiwa Bank |
| 8. Continental Illinois |
| 9. Orange County |
| 10. US Savings & Loan Crisis |
| 11. Bankgesellscaft Berlin |
| 12. California Power Crisis |
| 13. Riggs Bank |
| 14. National Australia Bank |
| 15. Group of 30 Study |
| 16. PRMIA Standards of Best Practice, Conduct and Ethics |
| 17. PRMIA Bylaws |
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