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


"Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition", also known as 8007 exam, is a PRMIA Certification. With the complete collection of questions and answers, ExamcollectionPass has assembled to take you through 133 Q&As to your 8007 Exam preparation. In the 8007 exam resources, you will cover every field and category in PRM Certification helping to ready you for your successful PRMIA Certification.

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Total Questions: 133
  • Certification Provider: PRMIA
  • Corresponding Certification: PRM
  • Updated on: Jul 24, 2026

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PRMIA 8007 Exam Syllabus Topics:

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

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

1. Which of the following is a false statement concerning the probability density function and the cumulative distribution function of a random variable?

A) the CDF approaches 1 as its argument approaches infinity.
B) the definite integral of the CDF from minus infinity to plus infinity is undefined.
C) the definite integral of the PDF from minus infinity to plus infinity is zero.
D) the PDF is non-negative.


2. Consider the linear regression model for the returns of stock A and the returns of stock B. Stock A is 50% more volatile than stock B. Which of the following statements is TRUE?

A) The stocks must be positively correlated ( )
B) Beta must be positive ( )
C) Beta must be greater in absolute value than the correlation of the stocks ( )
D) Alpha must be positive ( )


3. Two vectors are orthogonal when:

A) their determinant is zero
B) their scalar product (sum product) is zero
C) their components are linearly dependent
D) one is a scalar multiple of the other


4. Let E(X ) = 1, E(Y ) = 3, Corr(X, Y ) = -0.2, E(X2 ) = 10 and E(Y2 ) = 13. Find the covariance between X and Y

A) 1.3
B) -1.2
C) -2.8
D) None of the above


5. What is the angle between the following two three dimensional vectors: a=(1,2,3), b=(-4,2,0)?

A) 45 degrees
B) 180 degrees
C) 57 degrees
D) 90 degrees


Solutions:

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

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