PRMIA 8007 Exam II: Mathematical Foundations of Risk Measurement – 2015 Edition Online Training
PRMIA 8007 Online Training
The questions for 8007 were last updated at Dec 24,2024.
- Exam Code: 8007
- Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
- Certification Provider: PRMIA
- Latest update: Dec 24,2024
A typical leptokurtotic distribution can be described as a distribution that is relative to a normal distribution
- A . peaked and thin at the center and with heavy (fat) tails
- B . peaked and thin at the center and with thin tails
- C . flat and thick at the center and with heavy (fat) tails
- D . flat and thick at the center and with thin tails
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 . 5/7
- B . 8/11
- C . 6/11
- D . None of these
Let X be a random variable distributed normally with mean 0 and standard deviation 1 .
What is the expected value of exp(X)?
- A . E(exp(X)) = 1.6487
- B . E(exp(X)) = 1
- C . E(exp(X)) = 2.7183
- D . E(exp(X)) = 0.6065
What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?
- A . 1 / (x+y)
- B . (x + y) / (x+y)
- C . -x/(x+y) – y/(x+y)
- D . ln(x+y) x + ln(x+y) y
A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates.
What is the value of the test statistic for the hypothesis that the coefficient of is less than 1?
- A . 0.32
- B . 0.64
- C . 0.96
- D . 1.92
You invest $100 000 for 3 years at a continuously compounded rate of 3%. At the end of 3 years, you redeem the investment. Taxes of 22% are applied at the time of redemption .
What is your approximate after-tax profit from the investment, rounded to $10?
- A . $9420
- B . $7350
- C . $7230
- D . $7100
You are given the following values of a quadratic function f(x): f(0)=0, f(1)=-2, f(2)=-5.
On the basis of these data, the derivative f'(0) is …
- A . in the interval ]-2.5,-2[
- B . equal to -2
- C . in the interval ]-2,+[
- D . in the interval ]-,-2.5]
I have $5m to invest in two stocks: 75% of my capital is invested in stock 1 which has price 100 and the rest is invested in stock 2, which has price 125.
If the price of stock 1 falls to 90 and the price of stock 2 rises to 150, what is the return on my portfolio?
- A . -2.50%
- B . -5%
- C . 2.50%
- D . 5%
In a quadratic Taylor approximation, a function is approximated by:
- A . a constant
- B . a straight line
- C . a parabola
- D . a cubic polynomial
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