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 11, 2026   Q&As: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:
SectionObjectives
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
          Risk Measurement Techniques- Volatility and correlation
          • 1. Correlation estimation techniques
            • 2. Variance-covariance methods
              - Value at Risk (VaR)
              • 1. Historical simulation approach
                • 2. Parametric and non-parametric VaR
                  Stochastic Processes and Time Series- Stochastic processes basics
                  • 1. Markov processes
                    • 2. Brownian motion (introductory level)
                      - Time series analysis
                      • 1. AR, MA, and ARMA models
                        • 2. Autocorrelation and stationarity
                          Simulation and Numerical Methods- Monte Carlo simulation
                          • 1. Risk distribution simulation
                            • 2. Random number generation
                              PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
                              Question #1

                              Which of the provided answers solves this system of equations?
                              2y - 3x = 3y +x
                              y2 + x2 = 68

                              • A. x = 2; y = -8
                              • B. x = 2; y = 8
                              • C. x = 1; y = square root of 67
                              • D. x = -2; y = -8
                              Reveal Solution  Discussion  0

                              Correct Answer: A  🗳️

                              Question #2

                              I have a portfolio of two stocks. The weights are equal. The one volatility is 30% while the other is 40%. The minimum and maximum possible values of the volatility of my portfolio are:

                              • A. 10% and 40%
                              • B. 10% and 70%
                              • C. 30% and 40%
                              • D. 5% and 35%
                              Reveal Solution  Discussion  0

                              Correct Answer: D  🗳️

                              Question #3

                              Kurtosis(X) is defined as the fourth centred moment of X, divided by the square of the variance of X.
                              Assuming X is a normally distributed variable, what is Kurtosis(X)?

                              • A. 1
                              • B. 2
                              • C. 0
                              • D. 3
                              Reveal Solution  Discussion  0

                              Correct Answer: D  🗳️

                              Question #4

                              When a number is written with a fraction as an exponent, such as , which of the following is the correct computation?

                              • A. Take the square-root of 75 and raise it to the 5th power
                              • B. Square 75, then take the fifth root of it
                              • C. Multiply 75 by 2.5
                              • D. Divide 75 by 2, then raise it to the 5th power
                              Reveal Solution  Discussion  0

                              Correct Answer: A  🗳️

                              Question #5

                              Exploring a regression model for values of the independent variable that have not been observed is most accurately described as...

                              • A. Prediction
                              • B. Regression
                              • C. Estimation
                              • D. Hypothesis testing
                              Reveal Solution  Discussion  0

                              Correct Answer: A  🗳️

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