PRMIA 8007 : 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 19, 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. Value at Risk Methodologies
  • 2. Portfolio Risk Measurement
  • 3. Volatility Modeling
  • 4. Sensitivity Analysis
Topic 2: Calculus- Differential and Integral Calculus
  • 1. Differentiation
  • 2. Integration
  • 3. Multivariable Calculus
  • 4. Functions and Limits
Topic 3: Statistical Analysis- Descriptive and Inferential Statistics
  • 1. Confidence Intervals
  • 2. Hypothesis Testing
  • 3. Moments and Distributions
  • 4. Maximum Likelihood Estimation
Topic 4: Probability Theory- Fundamental Probability Concepts
  • 1. Bayes' Theorem
  • 2. Probability Rules
  • 3. Conditional Probability
  • 4. Random Variables
Topic 5: Linear Algebra- Matrix Methods
  • 1. Positive Definiteness
  • 2. Covariance Matrices
  • 3. Eigenvalues and Eigenvectors
  • 4. Matrix Operations
Topic 6: Regression and Time Series Analysis- Modeling Techniques
  • 1. Linear Regression
  • 2. Model Diagnostics
  • 3. Time Series Forecasting
  • 4. Multivariate Regression
Topic 7: Numerical Methods- Quantitative Techniques
  • 1. Optimization Methods
  • 2. Monte Carlo Methods
  • 3. Numerical Approximation
  • 4. Simulation Techniques

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

1. On average, one trade fails every 10 days. What is the probability that no trade will fail tomorrow?

A) 0.100
B) 0.095
C) 0.95
D) 0.905


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

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


3. A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

A) 6.59
B) 7.12
C) 7.29
D) 7.44


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

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


5. Find the first-order Taylor approximation p(x) for the function: at the point .

A) -x
B) x+1
C) -x+1
D) x-1


Solutions:

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

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