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PRMIA 8007

8007

Exam Code: 8007

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

Updated: Sep 12, 2026

Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

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

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

Question #1

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. 2
B. 3
C. 0
D. 1


Question #2

Let N(.) denote the cumulative distribution function of the standard normal probability distribution, and N' its derivative. Which of the following is false?

A. N(0) = 0.5
B. N'(0) 0
C. N(x) 0 as x
D. N'(x) 0 as x


Question #3

Which of the following statements about skewness of an empirical probability distribution are correct?
1. When sampling returns from a time series of asset prices, discretely compounded returns exhibit higher skewness than continuously compounded returns
2. When the mean is significantly less than the median, this is an indication of negative skewness
3. Skewness is a sign of asymmetry in the dispersion of the data

A. Statements 1 and 3 are correct
B. Statements 1 and 2 are correct
C. Statements 2 and 3 are correct
D. All three statements are correct


Question #4

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. [1, 2]
C. None of the above
D. [0, 1.5]


Question #5

Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is:

A. -x
B. x -1
C. ln(x)
D. x


Solutions:

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

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