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PRMIA 8007 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: Probability and Statistics Foundations | - Statistical inference
|
| Topic 2: Stochastic Processes and Time Series | - Time series analysis
|
| Topic 3: Simulation and Numerical Methods | - Monte Carlo simulation
|
| Topic 4: Risk Measurement Techniques | - Value at Risk (VaR)
|
PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
If A and B are two events with P(A) = 1/4, P(B) = 1/3 and P(A intersection B) =1/5, what is P(Bc | Ac) i.e. the probability of the complement of B when the complement of A is given?
- A. None of these
- B. 3/4
- C. 37/45
- D. 12/29
Correct Answer: C 🗳️
Concerning a standard normal distribution and a Student's t distribution (with more than four degrees of freedom), which of the following is true?
- A. The normal distribution has lower kurtosis than the t distribution.
- B. The distributions have the same kurtosis.
- C. The normal distribution has higher kurtosis than the t distribution.
- D. Which has the higher kurtosis depends on the degrees of freedom of the t distribution.
Correct Answer: A 🗳️
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. 36.33%
- B. 26.33%
- C. 20.78%
- D. 36%
Correct Answer: C 🗳️
The Newton-Raphson method
- A. is based on finding a middle point between left and right end of the search interval
- B. does provide an error bound along with every iteration
- C. is based on Taylor series and uses the first derivative
- D. can be used for continuous but not differentiable functions
Correct Answer: C 🗳️
Your stockbroker randomly recommends stocks to his clients from a tip sheet he is given each day. Today, his tip sheet has 3 common stocks and 5 preferred stocks from Asian companies and 3 common stocks and 5 preferred stocks from European companies. What is the probability that he will recommend a common stock AND/OR a European stock to you when you call and ask for one stock to buy today?
- A. None of these
- B. 11/16
- C. 7/8
- D. 9/16
Correct Answer: B 🗳️
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