PDF Version DemoPRMIA 8007 Exam Overview:
| Certification Vendor: | PRMIA |
| Exam Name: | Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition |
| Exam Number: | 8007 |
| Available Languages: | English |
| Real Exam Qty: | 24 |
| 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 |
| Certificate Validity Period: | Part of PRM Certification Program; exam credits remain valid subject to PRMIA certification policies |
| Exam Format: | Multiple Choice |
| Passing Score: | 60% |
| Exam Price: | USD 200 |
| Exam Duration: | 120 minutes |
| 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:
| Section | Objectives |
|---|---|
| Topic 1: Probability Theory | - Fundamental Probability Concepts
|
| Topic 2: Risk Measurement Applications | - Quantitative Risk Analysis
|
| Topic 3: Statistical Analysis | - Descriptive and Inferential Statistics
|
| Topic 4: Calculus | - Differential and Integral Calculus
|
| Topic 5: Numerical Methods | - Quantitative Techniques
|
| Topic 6: Regression and Time Series Analysis | - Modeling Techniques
|
| Topic 7: Linear Algebra | - Matrix Methods
|
PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
1. The bisection method can be used for solving f(x)=0 for a unique solution of x, when
A) The function f(x) is continuous and monotonic
B) The function f(x) is differentiable
C) The function f(x) is continuous
D) The function f(x) is differentiable and we have an explicit expression for the derivative
2. If a time series has to be differenced twice in order to be transformed into a stationary series, the original series is said to be:
A) differential
B) integrated of order 2
C) non-functional
D) non-linear
3. Suppose a discrete random variable can take on the values -1, 0 and 1 each with a probability of 1/3. Then the mean and variance of the variable is
A) mean is 0, variance is 2/3
B) mean is 1/3, variance is 1/3
C) mean is 0, variance is 1/2
D) mean is 0, variance is 1/3
4. In statistical hypothesis tests, 'Type I error' refers to the situation in which...
A) The null hypothesis is accepted when in fact it should have been rejected
B) Both null hypothesis and alternative hypothesis are rejected
C) Both null hypothesis and alternative hypothesis are accepted
D) The null hypothesis is rejected when in fact it should have been accepted
5. An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European put option has a strike of 105 and a maturity of 90 days. Its Black-Scholes price is 7.11. The options sensitivities are: delta = -0.59; gamma = 0.03; vega = 19.29. Find the delta-gamma approximation to the new option price when the underlying asset price changes to 105
A) 6.49
B) 5.03
C) 4.59
D) 4.54
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: B | Question # 3 Answer: A | Question # 4 Answer: D | Question # 5 Answer: D |
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