PRMIA 8007 : Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Sep 08, 2026   Q&As: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Regression and Time Series Analysis- Modeling Techniques
  • 1. Time Series Forecasting
  • 2. Model Diagnostics
  • 3. Multivariate Regression
  • 4. Linear Regression
Risk Measurement Applications- Quantitative Risk Analysis
  • 1. Portfolio Risk Measurement
  • 2. Volatility Modeling
  • 3. Value at Risk Methodologies
  • 4. Sensitivity Analysis
Calculus- Differential and Integral Calculus
  • 1. Multivariable Calculus
  • 2. Differentiation
  • 3. Functions and Limits
  • 4. Integration
Numerical Methods- Quantitative Techniques
  • 1. Numerical Approximation
  • 2. Simulation Techniques
  • 3. Monte Carlo Methods
  • 4. Optimization Methods
Statistical Analysis- Descriptive and Inferential Statistics
  • 1. Hypothesis Testing
  • 2. Maximum Likelihood Estimation
  • 3. Moments and Distributions
  • 4. Confidence Intervals
Linear Algebra- Matrix Methods
  • 1. Eigenvalues and Eigenvectors
  • 2. Matrix Operations
  • 3. Positive Definiteness
  • 4. Covariance Matrices
Probability Theory- Fundamental Probability Concepts
  • 1. Probability Rules
  • 2. Conditional Probability
  • 3. Random Variables
  • 4. Bayes' Theorem

PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:

Question #1

Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1

  • A. 1
  • B. 0.5
  • C. 2
  • D. 0
Answer: D
Question #2

In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. The risk neutral probability for an up move is:

  • A. 0.5286
  • B. 0.5288
  • C. 0.5290
  • D. 0.5292
Answer: B
Question #3

Concerning a standard normal distribution and a Student's t distribution (with more than four degrees of freedom), which of the following is true?

  • A. Which has the higher kurtosis depends on the degrees of freedom of the t distribution.
  • B. The normal distribution has higher kurtosis than the t distribution.
  • C. The distributions have the same kurtosis.
  • D. The normal distribution has lower kurtosis than the t distribution.
Answer: D
Question #4

Suppose that f(x) and g(x,y) are functions. What is the partial derivative of f(g(x,y)) with respect to y?

  • A. f(dg/dy)
  • B. f(g(x,y)) dg/dy
  • C. f'(g(x,y)) dg/dy
  • D. f'(g(x,y))
Answer: C
Question #5

Which of the following is not a sequence?

  • A. , , , , , , ...
  • B. , , , , ...
  • C. 30
  • D. , , , ... , , ...
Answer: C

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