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

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Exam Code: 8007

Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

Updated: Aug 01, 2026

Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Risk Measurement Techniques- Volatility and correlation
  • 1. Variance-covariance methods
    • 2. Correlation estimation techniques
      - Value at Risk (VaR)
      • 1. Historical simulation approach
        • 2. Parametric and non-parametric VaR
          Simulation and Numerical Methods- Monte Carlo simulation
          • 1. Risk distribution simulation
            • 2. Random number generation
              Stochastic Processes and Time Series- Time series analysis
              • 1. Autocorrelation and stationarity
                • 2. AR, MA, and ARMA models
                  - Stochastic processes basics
                  • 1. Markov processes
                    • 2. Brownian motion (introductory level)
                      Probability and Statistics Foundations- Statistical inference
                      • 1. Estimation theory
                        • 2. Confidence intervals and hypothesis testing
                          - Random variables and probability distributions
                          • 1. Discrete and continuous distributions
                            • 2. Expectation, variance, and moments

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

                              1. What is the maximum value for f(x)= 8-(x+3)(x-3)?

                              A) -1
                              B) 17
                              C) 8
                              D) None of these


                              2. What can be said about observations of random variables that are i.i.d. a normally distributed?

                              A) The estimated mean divided by the estimated variance has a Chi2-distribution
                              B) The estimated mean divided by the estimated variance has a t-distribution
                              C) The estimated mean divided by the estimated standard deviation has a Chi2-distribution
                              D) The estimated mean divided by the estimated standard deviation has a t-distribution


                              3. The gradient of a smooth function is

                              A) a matrix containing the function's second partial derivatives
                              B) infinite at a maximum point
                              C) matrix of second partial derivatives of a function
                              D) a vector that shows the direction of fastest change of a function


                              4. What is the 40th term in the following series: 4, 14, 30, 52, ...?

                              A) 240
                              B) 4960
                              C) 4840
                              D) 4598


                              5. There are two portfolios with no overlapping of stocks or bonds. Portfolio 1 has 6 stocks and 6 bonds.
                              Portfolio 2 has 4 stocks and 8 bonds. If we randomly select one stock, what is the probability that it came from Portfolio1?

                              A) 0.5
                              B) 0.3
                              C) 0.6
                              D) None of these


                              Solutions:

                              Question # 1
                              Answer: B
                              Question # 2
                              Answer: D
                              Question # 3
                              Answer: D
                              Question # 4
                              Answer: C
                              Question # 5
                              Answer: C

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