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

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  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Topic 1: Stochastic Processes and Time Series- Stochastic processes basics
  • 1. Markov processes
    • 2. Brownian motion (introductory level)
      - Time series analysis
      • 1. Autocorrelation and stationarity
        • 2. AR, MA, and ARMA models
          Topic 2: Risk Measurement Techniques- Value at Risk (VaR)
          • 1. Parametric and non-parametric VaR
            • 2. Historical simulation approach
              - Volatility and correlation
              • 1. Variance-covariance methods
                • 2. Correlation estimation techniques
                  Topic 3: 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
                          Topic 4: Simulation and Numerical Methods- Monte Carlo simulation
                          • 1. Risk distribution simulation
                            • 2. Random number generation

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

                              1. What is the maximum value of the function F(x, y)=x2+y2 in the domain defined by inequalities x 1, y -2, y-x 3 ?

                              A) 29
                              B) -25
                              C) 17
                              D) 1


                              2. In a portfolio there are 7 bonds: 2 AAA Corporate bonds, 2 AAA Agency bonds, 1 AA Corporate and 2 AA Agency bonds. By an unexplained characteristic the probability of any specific AAA bond outperforming the others is twice the probability of any specific AA bond outperforming the others. What is the probability that an AA bond or a Corporate bond outperforms all of the others?

                              A) None of these
                              B) 8/11
                              C) 6/11
                              D) 5/7


                              3. Suppose 60% of capital is invested in asset 1, with volatility 40% and the rest is invested in asset 2, with volatility 30%. If the two asset returns have a correlation of -0.5, what is the volatility of the portfolio?

                              A) 26.33%
                              B) 20.78%
                              C) 36%
                              D) 36.33%


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

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


                              5. What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?

                              A) 1 / (x+y)
                              B) ln(x+y) x + ln(x+y) y
                              C) (x + y) / (x+y)
                              D) -x/(x+y) - y/(x+y)


                              Solutions:

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

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