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

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Exam Code: 8007

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

Updated: Aug 15, 2026

Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Risk Measurement Techniques- Value at Risk (VaR)
  • 1. Historical simulation approach
    • 2. Parametric and non-parametric VaR
      - Volatility and correlation
      • 1. Correlation estimation techniques
        • 2. Variance-covariance methods
          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
                  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)

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

                              1. Every covariance matrix must be positive semi-definite. If it were not then:

                              A) It could not be used to simulate correlated asset paths
                              B) Some portfolios could have a negative variance
                              C) All the above statements are true
                              D) The associated correlation matrix would not be positive semi-definite


                              2. A 95% confidence interval for a parameter estimate can be interpreted as follows:

                              A) The probability that the real value of the parameter is within this interval is 95%.
                              B) The probability that the real value of the parameter is outside this interval is 95%.
                              C) The probability that the estimated value of the parameter is within this interval is 95%.
                              D) The probability that the estimated value of the parameter is outside this interval is 95%.


                              3. For each of the following functions, indicate whether its graph is concave or convex:
                              Y = 7x2 + 3x + 9
                              Y = 6 ln(3x)
                              Y = exp(-4x)

                              A) convex, convex, concave
                              B) concave, convex, convex
                              C) convex, concave, concave
                              D) concave, concave, concave


                              4. If A and B are two events with P(A) = 1/4, P(B) = 1/3 and P(A intersection B) =1/5, what is P(Bc | Ac) i.e. the probability of the complement of B when the complement of A is given?

                              A) 12/29
                              B) None of these
                              C) 3/4
                              D) 37/45


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

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


                              Solutions:

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

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