Exam 8011 Topic 1 Question 208 Discussion

Actual exam question for PRMIA's 8011 exam
Question #: 208
Topic #: 1
Under the actuarial (or CreditRisk+) based modeling of defaults, what is the probability of 4 defaults in a retail portfolio where the number of expected defaults is 2?

Suggested Answer: C Vote an answer

The actuarial or CreditRisk+ model considers default as an 'end of game' event modeled by a Poisson distribution. The annual number of defaults is a stochastic variable with a mean of#and standard deviation equal to ##.
The probability of n defaults is given by (#^n e^-#) /n!, and therefore in this case is equal to (=2^4 * exp(-2))
/FACT(4)) = 0.0902.
Note that CreditRisk+ is the same methodology as the actuarial approach, and requires using the Poisson distribution.

by Lynn at Sep 07, 2026, 03:00 PM

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