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PRMIA 8007 Exam Syllabus Topics:
| Section | Objectives |
|---|---|
| Topic 1: Calculus | - Differential and Integral Calculus
|
| Topic 2: Numerical Methods | - Quantitative Techniques
|
| Topic 3: Probability Theory | - Fundamental Probability Concepts
|
| Topic 4: Risk Measurement Applications | - Quantitative Risk Analysis
|
| Topic 5: Linear Algebra | - Matrix Methods
|
| Topic 6: Statistical Analysis | - Descriptive and Inferential Statistics
|
| Topic 7: Regression and Time Series Analysis | - Modeling Techniques
|
PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
Let X be a random variable normally distributed with zero mean and let . Then the correlation between X and Y is:
- A. positive
- B. negative
- C. zero
- D. not defined
Correct Answer: C 🗳️
In a portfolio there are 7 bonds: 2 AAA Corporate bonds, 2 AAA Agency bonds, 1 AA Corporate and 2 AA Agency bonds. By an unexplained characteristic the probability of any specific AAA bond outperforming the others is twice the probability of any specific AA bond outperforming the others. What is the probability that an AA bond or a Corporate bond outperforms all of the others?
- A. 8/11
- B. 5/7
- C. None of these
- D. 6/11
Correct Answer: C 🗳️
When the errors in a linear regression show signs of positive autocorrelation, which of the statements below is true?
- A. The regression coefficient will be unbiased, but the standard error of the regression coefficient will be understated
- B. The regression coefficient will be unbiased, but the standard error of the regression coefficient will be overstated
- C. The regression coefficient will be too high and the standard error of the regression coefficient will be understated
- D. The regression coefficient will be too low and the standard error of the regression coefficient will be overstated
Correct Answer: B 🗳️
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. -4
- C. 0.25
- D. -0.5
Correct Answer: A 🗳️
The Lagrangian of a constrained optimisation problem is given by L(x,y,) = 16x+8x2+4y-(4x+y-20), where is the Lagrange multiplier. What is the solution for x and y?
- A. x = 0, y = 20
- B. x = -1, y = 0
- C. None of the above
- D. x = 5, y = 0
Correct Answer: A 🗳️
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