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PRMIA Mathematical Foundations of Risk Measurement ? 2015 Edition Exam

Certification Provider: PRMIA
Exam Name: Mathematical Foundations of Risk Measurement ? 2015 Edition
Number of questions in our database: 132
Exam Version: Sep. 19, 2023
Mathematical Foundations of Risk Measurement ? 2015 Edition Exam Official Topics:
  • Topic 1: Single Topic

Free PRMIA Mathematical Foundations of Risk Measurement ? 2015 Edition Exam Actual Questions

The questions for Mathematical Foundations of Risk Measurement ? 2015 Edition were last updated On Sep. 19, 2023

Question #1

You are to perform a simple linear regression using the dependent variable Y and the independent variable X (Y = a + bX). Suppose that cov(X,Y)=10, var(X)= 5, and that the mean of X is 1 and the mean of Y is 2. What are the values for the regression parameters a and b?

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Correct Answer: D

Question #2

A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

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Correct Answer: A

Question #3

Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

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Correct Answer: B

Question #4

A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

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Correct Answer: A

Question #5

Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

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Correct Answer: B


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