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

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Aug 02, 2026
  • Q & A: 133 Questions and Answers
  • Go To 8007 Questions
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  • Total Price: $129.00 $59.99  

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Probability and Statistics Foundations- Random variables and probability distributions
  • 1. Discrete and continuous distributions
    • 2. Expectation, variance, and moments
      - Statistical inference
      • 1. Estimation theory
        • 2. Confidence intervals and hypothesis testing
          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. Random number generation
                    • 2. Risk distribution simulation
                      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. You intend to invest $100 000 for five years. Four different interest payment options are available. Choose the interest option that yields the highest return over the five year period.

                              A) a lump-sum payment of $22 500 on maturity (in five years)
                              B) a quarterly-compounded rate of 4.1%
                              C) a continuously-compounded rate of 4%
                              D) an annually compounded rate of 4.15%


                              2. An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101.
                              Approximate the value of the option delta using a first order central finite difference.

                              A) -0.5
                              B) -4
                              C) 0.25
                              D) -0.25


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

                              A) The probability of a Type I error is 100% minus the significance level
                              B) A Type I occurs whenever data series are serially correlated
                              C) 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
                              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 positive correlation was rejected


                              4. Which statement regarding the matrix below is true?

                              A) It is not positive definite
                              B) It is negative definite
                              C) It is positive definite
                              D) It is positive semi-definite


                              5. The sum of the infinite series 1+1/2+1/3+1/4+1/5+.... equals:

                              A) 20
                              B) 12
                              C) Infinity
                              D) 128


                              Solutions:

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

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