It boils down to the fact: at the moment are you working or not ?
If not , I would definetly choose the CFA because at the HR level and at the screening process, it is the most recognized. Also it can open doors to other non-quant jobs. It give you a foot in the door option to move to a quant job after that. You have to see the CFA as the financial equivalent of the MBA for the corporate world. But if you get a quant related job, the manager will definetly look closer to the fact if you have a Master degree or Phd then a CFA, PRM or FRM.
If you are working, I will definetly choose the PRM. The CFA and FRM are long and tedious exams. Not difficult for any grad students but the preparation and the discipline needed to succeed is gruesom. Dont be fool by the curriculum of the CFA and FRM, it may be easy stuff compare to any Msc in Financial Engineering but if you dont put the time, that means each day, you wont pass. And if you are working and have a social life with your spouse or whatever rocks your boat, you can kiss that goodbye ! Your partner in life may not be warm to the fact that the week ends are devoted to study !
The PRM is break down in 4 exams that you can pass any time you want. Meaning you study less and you focus on one subject at a time. So you dont need, like the FRM or CFA, to study ALL the curriculum to pass the exam. On the fact, who's better between the FRM or the PRM , well, for me, this is as useless as any discussion who's better between the Red Sox or the Yankee's ? It depends ... I prefer the PRM because there's more math then the FRM and since any risk mangement jobs needs alot of math skill, it should represent more the profession.
Agree with Voltaire.
I would say CFA is not relevant for strict quant roles (mostly Phd's and engineers in physical sciences dominate here) but it is definitely relevant for risk roles in general. CFA can help if you see yourself as someone looking after RWA initiatives of the bank. You need people with a broader picture of the banks accounts to be able to decide RWA reduction initiatives. RWA reduction is something an experienced quant can possibly do but decision making on where the reduction should start and driving it is something a quant cannot do.
Of course for a CFA to do the above it needs tons of exp.
Remember these days its all about RWA, cost and Regulatory affairs.