Pondering the PRM designation

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smgardy

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Does anyone have any thoughts on this designation ? I have a background in econ/math/stats and want to get into the regression and calculus a bit more. The math on this exam seems to be alot easier then the math required for the acturual exams. There is only single variable calculus. I am writting CFA level one in december but I am not in a hurry to complete the other two exams. I would probably take a year off of CFA to focus on PRM exams. The main thing that is holding me back is the fact that there are very few job posted that require the PRM designation. A lot less then CFA anyway.
 
What do you want to do? What are your career plans?
 
The FRM is designation has an equal reputation, it is only one exam offered in November so you will not need to take any time off from the CFA.



Edited 1 time(s). Last edit at Friday, June 16, 2006 at 06:47AM by Kiwi.
 
ASA will have a higher value (& possbily longevity) than prm/frm.

if you're young, then its worth a shot (even just the FM paper)
 
> The FRM is designation has an equal reputation, it
> is only one exam offered in November so you will
> not need to take any time off from the CFA.


I don't see why he'd need to take a year off to do PRM.
There's no reason why he can't take the PRM exams one at a time during the annual hiatus from CFA
 
smgardy Wrote:
> The main thing that is holding me back
> is the fact that there are very few job posted
> that require the PRM designation. A lot less then
> CFA anyway.

both garp (frm) and prmia (prm) have job boards on their websites
 
ASA:
Associate of the Society of Actuaries - Actuarial certification

You've got to be pretty mathematically inclined to go this route. The FM paper is probably the easiest of the 6 exams you need to get to ASA.
 
i think the prm has to done in 2 years...i think that is a requirement....not 100 percent sure though
 
> i think the prm has to done in 2 years...i think
> that is a requirement....not 100 percent sure
> though

agreed, but that doesn't contradict what I said.
Takes a CFA exam in June, Schweser doesn't come out for the next year until December/January,
so he can do two, three or even all 4 PRM exams in that 6th month window, and the ones he doesn't do, he can do in the next June-December period.
If he can study for FRM between June-November, he can do the same for FRM.

Plus, once he's a charterholder, he'd be exempt from exams 1 and 2, so take 3 and 4 first
 
darkstar Wrote:
-------------------------------------------------------
> ASA:
> Associate of the Society of Actuaries - Actuarial
> certification
>
> You've got to be pretty mathematically inclined to
> go this route. The FM paper is probably the
> easiest of the 6 exams you need to get to ASA.

The SOA exams are for acturial sciences.
The exams are not worth taking if you don't plan to complete all of them. They are much harder than CFA and FRm due to the real quantitative material.
 
I'm a PRM and a L3 candidate.

If you are interested in risk mgmt, specifically market risk (VaR, delta, gamma) or credit risk (CVaR, LGD etc), then PRM will give you in-depth understanding in these areas. This will also lessen your study load at CFA L3 because one study session is devoted to risk mgmt and if you passed PRM, then the ss will be a piece of cake.

Be warn though that PRM is much more quantitative than CFA. You'll have to deal with stats, probs, calculus (some ppl just hate it) and linear algebra. There's also substantial materials on derivatives (delta hedging, gamma hedging etc). learn it well and you'll find cfa L3's derivative a walk in the park. Also, know that PRM exams are broken down into 4 components and you'll have to pass all 4 of them. Thi is more difficult than a compensatory exam (eg, CFA, FRM) where you can do very poorly in one section and compensate with another section that you excelled in.

Prospect-wise, it's definitely not in the same league as CFA. It is a good-to-have, and may even get you a few risk mgmt interviews (assuming that you are interested in this area). Otherwise, it is mostly peripheral.

The same can be said of FRM. Whether you decide to do FRM or PRM is essentially a matter of preference. Personally I prefer PRMIA because of its member focus, and it does not require exorbitant annual fee. Also, PRMIA has established strong links with various top notch universities (Haas at Berkeley; Columbia Bus School; Toronto risk lab etc). However, GARP is definitely more established and publishes the excellent Risk magazine.

The actuarial exams are definitely worth taking if you are quant inclined and would like to challenge yourself. I did the FM (Financial Math) and P (Probability) exams and were lucky to pass both on first attempts. Definitely tougher than CFA, but only because the materials are much more quant whereas CFA generally requires memorization on wide spectrum of topics and regurgitation. Can't comment on career enhancement of ASA though, but I think it commands respect. I'll be working towards completing Exams C and M this Autumn since I'll be going back to school this year. Never know school is so sweet until I started working...



Edited 1 time(s). Last edit at Saturday, June 17, 2006 at 03:05PM by propanol.
 
Thanks for the feedback Propanol. I have my mind set on PRM and PRMIA exams. I was just wondering how long you studied for each PRM exam. If I did this designation I would take level one via the CSI in canada. My math background is two single variable calculus courses, two multivariable calculus courses, two linear algebra courses, differential equations, one intro stats, one regression analysis, two mathematical stats courses, and one statistical inference, time series analysis, mathematical optimization, two mathematical economics classes and two econometrics courses. So I have no desire to attempt the actural exams, they seem like two much math even for me. One thing I am lacking with regards to PRMIA level 2 is a course in Numerical Analysis. That was MATH 381 in my school and I was not able to fit it in my schedule. So, how much time did you spend on each exam studying. My perceptions are that exam two and three are the hardest. Level four is just some ethics and memorizing, only 1 hour exam. Level one maybe 1-2 months, read the book 3 or 4 times, take notes and whatever. What did you do for practice questions for each exam ? From what I gather there is some practice questions available from the links on the PRMIA website but they don't seem to be like enough for me. Any suggestions. Thanks for your time.S.G.
 
Re: "PRM is much more quantitative than CFA exams. You'll have to deal with stats, probs, calculus (some ppl just hate it) and linear algebra. "

The PRM designations ability to signal that its memebers have a stonger quant skills is marginalised by the fact that exams I & II are not required for CFA Charters. Although, I doubt it would take too much for someone with the CFA and the short-cut-PRM to catch on the akipped math. What texts are used for the PRM? Does the derivative section include the derivation of the BSM PDE?

"Never know school is so sweet until I started working..."
Couldn't agree with you more! I have just finished my first semester and it was so refreshing from the daily routine that accompanied my old sh!tty job.
 
smgardy,

How long it takes to prepare the various exams depends on your background. From my experience, Exams 1 and 3 are the toughest. From what you mentioned about your math background, I believe that you should find exam 2 manageable. I took abouot 1 week to review the relevant math concpets and passed exam 2. exam 4, with the case studies, is actually quite enjoyable. I took about 2 weeks for exam 4

Exam 3 deals with risk mgmt practices, and there are a lot of material there (VaR, credit risk, operational risk etc). I believe that I took about 1 month reading the prescribed materials. Exam 1 seems to be like CFA but is in fact different. Questions asked pertains more to derivatives (option, futures etc). Eg: what is the hedge ratio if you want to hedge a futures contract with an identical forward contract (it is not 1). I think I spent 1 month on it as well.

I suggest you purchase the PRM Handbook by PRMIA. The digital versin is about 150USD and PRMIA gives 30% if your salary is below specific level and your expenses will not be reimbursed by your company. The book is a compilation of the exam curriculum by authors like Wilmott, Glasserman (columbia GSB), Neftci, Carol Alexander etc

Kiwi,
Agree with you that the exemption on Exam 2 given to CFA charterholder is unwarranted. And no, derivation of pde BS formula is not required.

l'll be starting my Summer term next week and look forward to enjoying the great weather in California.
 
Kiwi Wrote:

> What texts are used for the PRM?

the prm handbook which is multiauthor and reads like a who's who of finance:

PRM Handbook
Section I - Finance Theory, Financial Instruments and Markets
I.A.1 - Risk and Risk Aversion, J. Pezier
I.A.2 - Portfolio Mathematics, P. Glasserman
I.A.3 - Capital Allocation, K. Cuthbertson, D. Nitzsche
I.A.4 - The CAPM and Multifactor Models, K. Cuthbertson, D. Nitzsche
I.A.5 - Basics of Capital Structure, S. Bishop
I.A.6 - The Term Structure of Interest Rates, D. Cernauskas, E. Demetriades
I.A.7 - Valuing Forward Contracts, D. Chance
I.A.8 - Basic Principles of Option Pricing, P. Wilmott
I.B.1 - General Characteristics of Bonds, L. Martellini, P. Priaulet
I.B.2 - The Analysis of Bonds, M. Choudhry
I.B.3 - Futures and Forwards, K. Cuthbertson, D. Nitzsche
I.B.4 - Swaps, S. Neftci
I.B.5 - Vanilla Options, P. Wilmott
I.B.6 - Credit Derivatives, M. Choudhry
I.B.7 - Caps, Floors & Swaptions, L. Martellini, P. Priaulet
I.B.8 - Convertible Bonds, I. Nelken
I.B.9 - Simple Exotics, C. March
I.C.1 - The Structure of Financial Markets, C. Lawrence, A. Milne
I.C.2 - The Money Markets, Canadian Securities Institute
I.C.3 - The Bond Market, M. Choudhry, L. Martellini, P. Priaulet
I.C.4 - The Foreign Exchange Market, Canadian Securities Institute
I.C.5 - The Stock Market, A. Street
I.C.6 - The Futures Market, Canadian Securities Institute
I.C.7 - The Structure of Commodities Markets, C. Lawrence, A. Milne
I.C.8 - The Energy Markets, P. Fusaro

Section II - Mathematical Foundations of Risk Measurement
II.A - Foundations, K. Parramore, T. Watsham
II.B - Descriptive Statistics, K. Parramore, T. Watsham
II.C - Calculus, K. Parramore, T. Watsham
II.D - Linear Algebra, K. Parramore, T. Watsham
II.E - Probability Theory in Finance, K. Parramore, T. Watsham
II.F - Regression Analysis in Finance, K. Parramore, T. Watsham
II.G - Numerical Methods, K. Parramore, T. Watsham

Section III - Risk Management Practices
III.0 - Capital Allocation and Risk Adjusted Performance, A. Aziz, D. Rosen
III.A.1 - Market Risk Management, J. Pezier
III.A.2 - Introduction to VaR Models, K. Dowd, D. Rowe
III.A.3 - Advanced VaR Models, C. Alexander, E. Sheedy
III.A.4 - Stress Testing and Scenario Analysis of Portfolios, B. Schachter
III.B.1 - Credit Risk Management, Joerg Behrens
III.B.2 - Foundations of Credit Risk Modelling, P. Sch�nbucher
III.B.3 - Credit Exposure, P. Sch�nbucher
III.B.4 - Default and Credit Migration, P. Sch�nbucher
III.B.5 - Portfolio Models of Credit Loss, M. Crouhy, D. Galai, R. Mark
III.B.6 - Credit Risk Economic and Regulatory Capital Calculation, D. Rosen
III.C.1 - The Operational Risk Management Framework, M. Ong
III.C.2 - Operational Risk Process Models, J. Lam
III.C.3 - Operational VaR, C. Alexander

> Does the derivative section include the derivation of the BSM PDE?

I took prm before the handbook came out and would be curious to know what's included in
I.A.8 - Basic Principles of Option Pricing, P. Wilmott

Bear in mind that lots of quant books use the martingale approach not the pde approach, so the derivation of the BSM PDE is not in every quant book, and it's usually, what a 3 line no-arbitrage argument to go from GBM to the PDE
 
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