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

PRMIA 8007 exam
  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Sep 08, 2026
  • Q & A: 133 Questions and Answers
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PRMIA 8007 Exam Syllabus Topics:
SectionWeightObjectives
Numerical Methods & Financial Mathematics15%- Basics of risk modeling
- Root finding and approximation
- Time value of money
Probability Theory25%- Random variables and distributions
  • 1. Discrete and continuous distributions
    • 2. Expected value, variance, covariance
      - Basic probability concepts
      • 1. Conditional probability and independence
        • 2. Axioms and rules
          Calculus and Functions20%- Single-variable calculus
          • 1. Integrals and applications
            • 2. Limits and continuity
              • 3. Derivatives and applications
                - Multivariable calculus
                • 1. Optimization
                  • 2. Partial derivatives
                    Statistics and Regression Analysis20%- Descriptive statistics
                    • 1. Measures of location and dispersion
                      • 2. Correlation and covariance
                        - Linear regression
                        • 1. Simple and multiple regression
                          • 2. Hypothesis testing and confidence intervals
                            Linear Algebra and Matrix Theory20%- Vectors and eigenvalues
                            • 1. Eigenvalues and eigenvectors
                              • 2. Diagonalization
                                - Matrix operations
                                • 1. Determinants and trace
                                  • 2. Addition, multiplication, inversion
                                    PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
                                    Question #1

                                    At what point x does the function f(x) = x3 - 4x2 + 1 have a local minimum?

                                    • A. 2
                                    • B. -0.666666667
                                    • C. 2.66667
                                    • D. 0
                                    Answer: C
                                    Question #2

                                    I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both 20%, while the correlation of returns is 50%. The volatility of my portfolio is

                                    • A. 17.4%
                                    • B. 24.4%
                                    • C. 16%
                                    • D. 20%
                                    Answer: A
                                    Question #3

                                    The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?

                                    • A. 0.5
                                    • B. 0
                                    • C. None of the above
                                    • D. 1
                                    Answer: B
                                    Question #4

                                    The bisection method can be used for solving f(x)=0 for a unique solution of x, when

                                    • A. The function f(x) is differentiable and we have an explicit expression for the derivative
                                    • B. The function f(x) is continuous
                                    • C. The function f(x) is differentiable
                                    • D. The function f(x) is continuous and monotonic
                                    Answer: D
                                    Question #5

                                    Consider the following distribution data for a random variable X: What is the mean and variance of X?

                                    • A. 3.4 and 3.84
                                    • B. 3.6 and 7.15
                                    • C. None of these
                                    • D. 3.5 and 3.45
                                    Answer: C

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