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

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Jul 20, 2026
  • Q&As: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

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

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

1. A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates. What is the value of the test statistic for the hypothesis that the coefficient of is zero against the alternative that is less than zero?

A) -1.25
B) 2.5
C) -2.5
D) 0.125


2. You intend to invest $100 000 for five years. Four different interest payment options are available. Choose the interest option that yields the highest return over the five year period.

A) an annually compounded rate of 4.15%
B) a quarterly-compounded rate of 4.1%
C) a continuously-compounded rate of 4%
D) a lump-sum payment of $22 500 on maturity (in five years)


3. You invest $2m in a bank savings account with a constant interest rate of 5% p.a. What is the value of the investment in 2 years time if interest is compounded quarterly?

A) None of them
B) $2,210,342
C) $2.205,000
D) $2,208,972


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

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


5. An operational risk analyst models the occurrence of computer failures as a Poisson process with an arrival rate of 2 events per year. According to this model, what is the probability of zero failures in one year?

A) 0.02
B) 0.14
C) 0.25
D) 0.50


Solutions:

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

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