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

8007 real exams

Exam Code: 8007

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

Updated: Jul 17, 2026

Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Simulation and Numerical Methods- Monte Carlo simulation
  • 1. Random number generation
    • 2. Risk distribution simulation
      Probability and Statistics Foundations- Statistical inference
      • 1. Confidence intervals and hypothesis testing
        • 2. Estimation theory
          - Random variables and probability distributions
          • 1. Expectation, variance, and moments
            • 2. Discrete and continuous distributions
              Stochastic Processes and Time Series- Stochastic processes basics
              • 1. Markov processes
                • 2. Brownian motion (introductory level)
                  - Time series analysis
                  • 1. Autocorrelation and stationarity
                    • 2. AR, MA, and ARMA models
                      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

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

                              1. Consider two functions f(x) and g(x) with indefinite integrals F(x) and G(x), respectively. The indefinite integral of the product f(x)g(x) is given by

                              A) F(x)g(x) + f(x)G(x)
                              B) F(x)g(x) - F(x)g'(x)dx
                              C) F(x)G(x)
                              D) f(x)G(x) - F(x)g'(x)dx


                              2. When the errors in a linear regression show signs of positive autocorrelation, which of the statements below is true?

                              A) The regression coefficient will be unbiased, but the standard error of the regression coefficient will be overstated
                              B) The regression coefficient will be unbiased, but the standard error of the regression coefficient will be understated
                              C) The regression coefficient will be too high and the standard error of the regression coefficient will be understated
                              D) The regression coefficient will be too low and the standard error of the regression coefficient will be overstated


                              3. 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) integrated of order 2
                              C) non-functional
                              D) differential


                              4. A quadratic form is

                              A) an algebraic expression in two variables, x and y, involving , , and terms.
                              B) defined as a positive definite Hessian matrix.
                              C) a specific solution of the Black-Scholes pricing formula
                              D) an algebraic expression in two variables, x and y, involving , and terms.


                              5. A typical leptokurtotic distribution can be described as a distribution that is relative to a normal distribution

                              A) flat and thick at the center and with thin tails
                              B) peaked and thin at the center and with heavy (fat) tails
                              C) flat and thick at the center and with heavy (fat) tails
                              D) peaked and thin at the center and with thin tails


                              Solutions:

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

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