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PRMIA 8007 Exam Overview:

Certification Vendor:PRMIA
Exam Name:Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
Exam Number:8007
Related Certifications:Professional Risk Manager (PRM) Certification
Exam I: Finance Theory, Financial Instruments and Financial Markets - 2015 Edition
Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
Exam IV: Case Studies, Standards, Governance, Best Practices and Ethics - 2015 Edition
Exam Format:Multiple Choice
Certificate Validity Period:Part of PRM Certification Program; exam credits remain valid subject to PRMIA certification policies
Available Languages:English
Exam Duration:120 minutes
Real Exam Qty:24
Exam Price:USD 200
Passing Score:60%
Sample Questions:PRMIA 8007 Sample Questions
Exam Way:Computer-based testing through authorized PRMIA testing providers; available at testing centers and online where offered.
Pre Condition:No formal prerequisite examination required. Candidates pursuing the PRM designation must successfully complete all required PRM examinations and satisfy PRMIA certification requirements.
Official Syllabus URL:https://prmia.org/

PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Topic 1: Numerical Methods- Quantitative Techniques
  • 1. Optimization Methods
  • 2. Monte Carlo Methods
  • 3. Simulation Techniques
  • 4. Numerical Approximation
Topic 2: Risk Measurement Applications- Quantitative Risk Analysis
  • 1. Volatility Modeling
  • 2. Sensitivity Analysis
  • 3. Value at Risk Methodologies
  • 4. Portfolio Risk Measurement
Topic 3: Linear Algebra- Matrix Methods
  • 1. Eigenvalues and Eigenvectors
  • 2. Positive Definiteness
  • 3. Covariance Matrices
  • 4. Matrix Operations
Topic 4: Calculus- Differential and Integral Calculus
  • 1. Differentiation
  • 2. Functions and Limits
  • 3. Multivariable Calculus
  • 4. Integration
Topic 5: Probability Theory- Fundamental Probability Concepts
  • 1. Probability Rules
  • 2. Bayes' Theorem
  • 3. Random Variables
  • 4. Conditional Probability
Topic 6: Regression and Time Series Analysis- Modeling Techniques
  • 1. Multivariate Regression
  • 2. Time Series Forecasting
  • 3. Model Diagnostics
  • 4. Linear Regression
Topic 7: Statistical Analysis- Descriptive and Inferential Statistics
  • 1. Maximum Likelihood Estimation
  • 2. Confidence Intervals
  • 3. Hypothesis Testing
  • 4. Moments and Distributions

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

1. When a number is written with a fraction as an exponent, such as , which of the following is the correct computation?

A) Square 75, then take the fifth root of it
B) Multiply 75 by 2.5
C) Take the square-root of 75 and raise it to the 5th power
D) Divide 75 by 2, then raise it to the 5th power


2. Which of the following is consistent with the definition of a Type I error?

A) A Type I occurs whenever data series are serially correlated
B) A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of positive correlation was rejected
C) A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of no correlation was rejected
D) The probability of a Type I error is 100% minus the significance level


3. The sum of the infinite series 1+1/2+1/3+1/4+1/5+.... equals:

A) Infinity
B) 12
C) 20
D) 128


4. The correlation between two asset returns is 0.5. What is the largest eigenvalue of their correlation matrix?

A) 0.5
B) 1.5
C) 1
D) None of the above


5. If the annual volatility of returns is 25% what is the variance of the quarterly returns?

A) 0.0156
B) 0.0625
C) None of the above
D) 0.1250


Solutions:

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

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