What is the Credit and Counterparty Risk Manager (CCRM) Certificate?
Credit risk is traditionally defined as the risk that an obligor will not be able to honor its (often long dated) obligations, and has mostly been applied to the fixed income world and more specifically to bank lending. It is binary in nature on a single asset that either defaults or does not default, and the consideration of portfolio effects is always crucial for risk analysis. More recently, the nature of what is being considered credit risk has changed; nowadays deterioration in credit quality short of a default is often considered part of credit risk, and derivative counterparty risk has become much more important. The particularity of the latter is that it operates on a time-varying notional (e.g. consider an interest rate swap or an FX forward where one counterparty owes the other one money, depending on market movements) and is highly dependent on correlations.
Design a coherent framework for credit and market risk with neither risks left out nor double counting
Because obligors often appear both in the loan portfolio and as counterparties (and even if they don’t, the factors driving the respective defaults appear in both), a proper analysis of credit risk often leads to having to consider the loan portfolio and the counterparty within the same analysis rather than being able to analyze those two separately and aggregating the results. This makes credit risk one of the most difficult and expensive to analyze, and it is important that key staff involved is aware of the difficulties and how to address them.
The CCRM Certificate is designed to deliver a deep, practical understanding of credit risk analysis frameworks and how to deploy them and act on them in practice in financial institutions.Successful candidates will be better prepared to implement meaningful risk assessment initiatives, produce useful risk management information and understand the key modeling techniques for credit risk measurement. In addition, they must commit to further uphold the highest professional and ethical standards as defined by the PRMIA Standards of Best Practice, Conduct and Ethics.
The CCRM is relevant to all risk-related roles in financial services, in particular Credit Risk Staff, Financial Controllers, Operations and Technology Managers, and Compliance and Legal Officers.
Key Learning Objectives
Those who pass the CCRM exam will be able to:
- Understand the different sources from where credit risk can arise
- Understand how different definitions of credit risk lead to different results
- Design a coherent framework for credit and market risk with neither risks left out nor double counting
- Understand which level of analysis is appropriate for which institution
- Understand risk mitigation – how it works, what the residual risks are, and how it should be included within the models
- Qualitatively understand the impact of the different risk drivers and validate the model results using back-of-the-envelope calculations
- Understand the high level software and system implications of the different modeling choices
Who holds the CCRM Certificate?
PRMIA Certifications Public Directory - access a list of risk professionals holding the CCRM Certificate from 2016 onward.