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PRMIA 8007 Exam Syllabus Topics:

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

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

1. Consider an investment fund with the following annual return rates over 8 years: +6%, -6%, +12%, -12%,
+3%, -3%, +9%, -9% .
What can you say about the annual geometric and arithmetic mean returns of this investment fund?

A) None of the above
B) The arithmetic mean return is equal to the geometric mean return
C) The arithmetic mean return is negative and the geometric mean return is zero
D) The arithmetic mean return is zero and the geometric mean return is negative


2. Simple linear regression involves one dependent variable, one independent variable and one error variable. In contrast, multiple linear regression uses...

A) One dependent variable, many independent variables, one error variable
B) Many dependent variables, many independent variables, many error variables
C) One dependent variable, one independent variable, many error variables
D) Many dependent variables, one independent variable, one error variable


3. An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101.
Approximate the value of the option delta using a first order central finite difference.

A) -0.25
B) 0.25
C) -4
D) -0.5


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 1 and 3 are correct
B) All three statements are correct
C) Statements 2 and 3 are correct
D) Statements 1 and 2 are correct


5. Evaluate the derivative of ln(1+ x2) at the point x = 1

A) 2
B) 1
C) 0
D) 0.5


Solutions:

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

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