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PRMIA 8007 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Regression and Time Series Analysis | - Modeling Techniques
|
| Risk Measurement Applications | - Quantitative Risk Analysis
|
| Calculus | - Differential and Integral Calculus
|
| Numerical Methods | - Quantitative Techniques
|
| Probability Theory | - Fundamental Probability Concepts
|
| Linear Algebra | - Matrix Methods
|
| Statistical Analysis | - Descriptive and Inferential Statistics
|
PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
1. Suppose a discrete random variable can take on the values -1, 0 and 1 each with a probability of 1/3. Then the mean and variance of the variable is
A) mean is 0, variance is 1/2
B) mean is 0, variance is 1/3
C) mean is 1/3, variance is 1/3
D) mean is 0, variance is 2/3
2. Kurtosis(X) is defined as the fourth centred moment of X, divided by the square of the variance of X.
Assuming X is a normally distributed variable, what is Kurtosis(X)?
A) 3
B) 2
C) 0
D) 1
3. Stress testing portfolios requires changing the asset volatilities and correlations to extreme values. Which of the following would lead to a non positive definite covariance matrix?
A) Changing all the correlations to be unity
B) All of the above
C) Changing the volatilities to be greater than 100%
D) Changing all the correlations to be zero
4. Which of the following statements concerning class intervals used for grouping of data is correct?
When grouping data, attention must be paid to the following with regards to class intervals:
1. Class intervals should not overlap
2. Class intervals should be of equal size unless there is a specific need to highlight data within a specific subgroup
3. The class intervals should be large enough so that they not obscure interesting variation within the group
A) Statements 2 and 3 are correct
B) All three statements are correct
C) Statements 1 and 2 are correct
D) Statements 1 and 3 are correct
5. What is the probability of tossing a coin and getting exactly 2 heads out of 5 throws?
A) None of these
B) 9/23
C) 8/15
D) 10/32
Solutions:
| Question # 1 Answer: D | Question # 2 Answer: A | Question # 3 Answer: A | Question # 4 Answer: C | Question # 5 Answer: D |







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