PRMIA 8007 exam dumps : 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 09, 2026     Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Topic 1: Stochastic Processes and Time Series- Time series analysis
  • 1. AR, MA, and ARMA models
    • 2. Autocorrelation and stationarity
      - Stochastic processes basics
      • 1. Markov processes
        • 2. Brownian motion (introductory level)
          Topic 2: Simulation and Numerical Methods- Monte Carlo simulation
          • 1. Random number generation
            • 2. Risk distribution simulation
              Topic 3: Probability and Statistics Foundations- Random variables and probability distributions
              • 1. Expectation, variance, and moments
                • 2. Discrete and continuous distributions
                  - Statistical inference
                  • 1. Estimation theory
                    • 2. Confidence intervals and hypothesis testing
                      Topic 4: 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:

                              Question #1

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

                              • A. x-1
                              • B. -x+1
                              • C. x+1
                              • D. -x
                              Answer: B
                              Question #2

                              A simple linear regression is based on 100 data points. The total sum of squares is 1.5 and the correlation between the dependent and explanatory variables is 0.5. What is the explained sum of squares?

                              • A. 0.3333
                              • B. 0.375
                              • C. 1.125
                              • D. 0.75
                              Answer: B
                              Question #3

                              In statistical hypothesis tests, 'Type I error' refers to the situation in which...

                              • A. The null hypothesis is accepted when in fact it should have been rejected
                              • B. Both null hypothesis and alternative hypothesis are rejected
                              • C. The null hypothesis is rejected when in fact it should have been accepted
                              • D. Both null hypothesis and alternative hypothesis are accepted
                              Answer: C
                              Question #4

                              You are given the following regressions of the first difference of the log of a commodity price on the lagged price and of the first difference of the log return on the lagged log return. Each regression is based on 100 data points and figures in square brackets denote the estimated standard errors of the coefficient estimates:
                              Which of the following hypotheses can be accepted based on these regressions at the 5% confidence level (corresponding to a critical value of the Dickey Fuller test statistic of - 2.89)?

                              • A. The commodity returns are stationary
                              • B. The commodity prices are stationary
                              • C. The commodity returns are integrated of order 1
                              • D. None of the above
                              Answer: D
                              Question #5

                              In a multiple linear regression, the significance of R2 can be tested using which distribution?

                              • A. Student's t distribution
                              • B. F-distribution
                              • C. Binomial distribution
                              • D. Normal distribution
                              Answer: B

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