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PRMIA 8007 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: Probability and Statistics Foundations | - Random variables and probability distributions
|
| Topic 2: Simulation and Numerical Methods | - Monte Carlo simulation
|
| Topic 3: Risk Measurement Techniques | - Volatility and correlation
|
| Topic 4: Stochastic Processes and Time Series | - Stochastic processes basics
|
PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
What is the sum of the first 20 terms of this sequence: 3, 5, 9, 17, 33, 65,...?
- A. 2 097 172
- B. 1 048 574
- C. 2 097 170
- D. 1 048 595
Correct Answer: C 🗳️
The sum of the infinite series 1+1/2+1/3+1/4+1/5+.... equals:
- A. Infinity
- B. 20
- C. 12
- D. 128
Correct Answer: A 🗳️
A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Macaulay Duration of the bond?
- A. 2
- B. 1.95
- C. 1.86
- D. 1.75
Correct Answer: B 🗳️
You are given the following regressions of the first difference of the log of a commodity price on the lagged price and of the first difference of the log return on the lagged log return. Each regression is based on 100 data points and figures in square brackets denote the estimated standard errors of the coefficient estimates:
Which of the following hypotheses can be accepted based on these regressions at the 5% confidence level (corresponding to a critical value of the Dickey Fuller test statistic of - 2.89)?
- A. The commodity returns are stationary
- B. None of the above
- C. The commodity returns are integrated of order 1
- D. The commodity prices are stationary
Correct Answer: B 🗳️
At what point x does the function f(x) = x3 - 4x2 + 1 have a local minimum?
- A. 2.66667
- B. 2
- C. -0.666666667
- D. 0
Correct Answer: A 🗳️







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