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

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Jul 22, 2026   Q&As: 133 Questions and Answers
  • Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:
SectionObjectives
Statistical Analysis- Descriptive and Inferential Statistics
  • 1. Moments and Distributions
  • 2. Hypothesis Testing
  • 3. Confidence Intervals
  • 4. Maximum Likelihood Estimation
Linear Algebra- Matrix Methods
  • 1. Matrix Operations
  • 2. Positive Definiteness
  • 3. Eigenvalues and Eigenvectors
  • 4. Covariance Matrices
Regression and Time Series Analysis- Modeling Techniques
  • 1. Time Series Forecasting
  • 2. Model Diagnostics
  • 3. Linear Regression
  • 4. Multivariate Regression
Calculus- Differential and Integral Calculus
  • 1. Functions and Limits
  • 2. Integration
  • 3. Multivariable Calculus
  • 4. Differentiation
Probability Theory- Fundamental Probability Concepts
  • 1. Conditional Probability
  • 2. Bayes' Theorem
  • 3. Probability Rules
  • 4. Random Variables
Risk Measurement Applications- Quantitative Risk Analysis
  • 1. Portfolio Risk Measurement
  • 2. Volatility Modeling
  • 3. Sensitivity Analysis
  • 4. Value at Risk Methodologies
Numerical Methods- Quantitative Techniques
  • 1. Simulation Techniques
  • 2. Numerical Approximation
  • 3. Monte Carlo Methods
  • 4. Optimization Methods
PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:

1. A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates.
Which of the following is an approximate 95% confidence interval for the true value of the coefficient of ?

A) [0, 3]
B) [0, 1.5]
C) [1, 2]
D) None of the above


2. What is the angle between the following two three dimensional vectors: a=(1,2,3), b=(-4,2,0)?

A) 45 degrees
B) 180 degrees
C) 90 degrees
D) 57 degrees


3. The Lagrangian of a constrained optimisation problem is given by L(x,y,) = 16x+8x2+4y-(4x+y-20), where is the Lagrange multiplier. What is the solution for x and y?

A) x = -1, y = 0
B) None of the above
C) x = 5, y = 0
D) x = 0, y = 20


4. If a time series has to be differenced twice in order to be transformed into a stationary series, the original series is said to be:

A) non-linear
B) non-functional
C) differential
D) integrated of order 2


5. Which of the following is consistent with the definition of a Type I error?

A) A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of positive correlation was rejected
B) The probability of a Type I error is 100% minus the significance level
C) A Type I occurs whenever data series are serially correlated
D) A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of no correlation was rejected


Solutions:

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

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