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

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Sep 15, 2026
  • Q&As: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

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

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

Question #1

Evaluate the derivative of ln(1+ x2) at the point x = 1

  • A. 0
  • B. 1
  • C. 2
  • D. 0.5
Reveal Solution  Discussion  0

Correct Answer: B  🗳️

Question #2

The quarterly compounded rate of return is 6% per annum. What is the corresponding effective annual return?

  • A. None of the above
  • B. 1.50%
  • C. 6.14%
  • D. 6%
Reveal Solution  Discussion  0

Correct Answer: C  🗳️

Question #3

I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both 20%, while the correlation of returns is 50%. The volatility of my portfolio is

  • A. 16%
  • B. 24.4%
  • C. 20%
  • D. 17.4%
Reveal Solution  Discussion  0

Correct Answer: D  🗳️

Question #4

Which of the following statements is true for symmetric positive definite matrices?

  • A. If a is its eigenvalue, then -a is also its eigenvalue
  • B. Its eigenvalues are all positive
  • C. One of its eigenvalues equals 0
  • D. If a is its eigenvalue, then is also its eigenvalue
Reveal Solution  Discussion  0

Correct Answer: B  🗳️

Question #5

Which statement regarding the matrix below is true?

  • A. It is positive definite
  • B. It is positive semi-definite
  • C. It is not positive definite
  • D. It is negative definite
Reveal Solution  Discussion  0

Correct Answer: C  🗳️

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