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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: Aug 12, 2026

Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Topic 1: Risk Measurement Applications- Quantitative Risk Analysis
  • 1. Volatility Modeling
  • 2. Sensitivity Analysis
  • 3. Portfolio Risk Measurement
  • 4. Value at Risk Methodologies
Topic 2: Calculus- Differential and Integral Calculus
  • 1. Multivariable Calculus
  • 2. Integration
  • 3. Differentiation
  • 4. Functions and Limits
Topic 3: Statistical Analysis- Descriptive and Inferential Statistics
  • 1. Moments and Distributions
  • 2. Hypothesis Testing
  • 3. Confidence Intervals
  • 4. Maximum Likelihood Estimation
Topic 4: Numerical Methods- Quantitative Techniques
  • 1. Optimization Methods
  • 2. Simulation Techniques
  • 3. Numerical Approximation
  • 4. Monte Carlo Methods
Topic 5: Probability Theory- Fundamental Probability Concepts
  • 1. Conditional Probability
  • 2. Bayes' Theorem
  • 3. Probability Rules
  • 4. Random Variables
Topic 6: Linear Algebra- Matrix Methods
  • 1. Matrix Operations
  • 2. Positive Definiteness
  • 3. Covariance Matrices
  • 4. Eigenvalues and Eigenvectors
Topic 7: Regression and Time Series Analysis- Modeling Techniques
  • 1. Multivariate Regression
  • 2. Linear Regression
  • 3. Model Diagnostics
  • 4. Time Series Forecasting

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

1. 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) 0.25
B) -4
C) -0.25
D) -0.5


2. Exploring a regression model for values of the independent variable that have not been observed is most accurately described as...

A) Regression
B) Prediction
C) Hypothesis testing
D) Estimation


3. What is the probability of tossing a coin and getting exactly 2 heads out of 5 throws?

A) None of these
B) 9/23
C) 10/32
D) 8/15


4. Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

A) A high positive correlation between two explanatory variables
B) A structural break in the dependent variable
C) Using an inappropriate functional form in the model
D) The omission of a relevant explanatory variable


5. For a quadratic equation, which of the following is FALSE?

A) If the discriminant is zero, there is only one solution
B) If the discriminant is positive there are two different real solutions
C) If the discriminant is negative there are two different real solutions
D) If the discriminant is negative, there are no real solutions


Solutions:

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

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