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

8007
  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Aug 15, 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. Risk distribution simulation
    • 2. Random number generation
      Stochastic Processes and Time Series- Time series analysis
      • 1. AR, MA, and ARMA models
        • 2. Autocorrelation and stationarity
          - Stochastic processes basics
          • 1. Brownian motion (introductory level)
            • 2. Markov processes
              Probability and Statistics Foundations- Statistical inference
              • 1. Confidence intervals and hypothesis testing
                • 2. Estimation theory
                  - Random variables and probability distributions
                  • 1. Discrete and continuous distributions
                    • 2. Expectation, variance, and moments
                      Risk Measurement Techniques- Volatility and correlation
                      • 1. Correlation estimation techniques
                        • 2. Variance-covariance methods
                          - 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. You are investigating the relationship between weather and stock market performance. To do this, you pick
                              100 stock market locations all over the world. For each location, you collect yesterday's mean temperature and humidity and yesterday's local index return. Performing a regression analysis on this data is an example of...

                              A) Multiple cross-section regression
                              B) Multiple time-series regression
                              C) Simple time-series regression
                              D) Simple cross-section regression


                              2. The bisection method can be used for solving f(x)=0 for a unique solution of x, when

                              A) The function f(x) is differentiable
                              B) The function f(x) is continuous
                              C) The function f(x) is differentiable and we have an explicit expression for the derivative
                              D) The function f(x) is continuous and monotonic


                              3. What is the sum of the first 20 terms of this sequence: 3, 5, 9, 17, 33, 65,...?

                              A) 1 048 574
                              B) 2 097 170
                              C) 2 097 172
                              D) 1 048 595


                              4. Solve the simultaneous linear equations: x + 2y - 2 = 0 and y - 3x = 8

                              A) x = 1, y = 0.5
                              B) x = 2, y = 0
                              C) None of the above
                              D) x = -2, y = 2


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

                              A) Both null hypothesis and alternative hypothesis are rejected
                              B) Both null hypothesis and alternative hypothesis are accepted
                              C) The null hypothesis is rejected when in fact it should have been accepted
                              D) The null hypothesis is accepted when in fact it should have been rejected


                              Solutions:

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

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