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Updated: Jul 25, 2026
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| Certification Vendor: | PRMIA (Professional Risk Managers' International Association) |
| Exam Name: | Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition |
| Exam Number: | 8007 |
| Exam Format: | Multiple-choice questions, Computer-based, No negative marking |
| Related Certifications: | PRMâ„¢ Certification ORM (Operational Risk Manager) |
| Available Languages: | English |
| Passing Score: | 60% |
| Exam Duration: | 120 minutes |
| Exam Price: | $650 - $800 USD (varies by PRMIA membership type) |
| Certificate Validity Period: | 3 years from passing; must complete all PRM exams within 2 years |
| Real Exam Qty: | 132 |
| Recommended Training: | PRMIA Official Handbook & Study Materials PRMIA Recommended Preparation Resources |
| Exam Registration: | Pearson VUE Scheduling PRMIA Official Registration |
| Sample Questions: | PRMIA 8007 Sample Questions |
| Exam Way: | Online proctored or onsite at Pearson VUE testing centers |
| Pre Condition: | PRMIA membership; bachelor's degree + 2 years experience OR 4 years experience without degree; graduate degree or relevant professional designation may waive experience requirement |
| Official Syllabus URL: | https://prmia.org/Public/PRM/PRM_Handbook_Digital%20Resources.aspx |
| Section | Weight | Objectives |
|---|---|---|
| Statistics and Regression Analysis | 20% | - Linear regression
|
| Calculus and Functions | 20% | - Multivariable calculus
|
| Probability Theory | 25% | - Basic probability concepts
|
| Linear Algebra and Matrix Theory | 20% | - Vectors and eigenvalues
|
| Numerical Methods & Financial Mathematics | 15% | - Time value of money - Root finding and approximation - Basics of risk modeling |
1. 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 too high and 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 understated
C) The regression coefficient will be unbiased, but the standard error of the regression coefficient will be overstated
D) The regression coefficient will be too low and the standard error of the regression coefficient will be overstated
2. What is the simplest form of this expression: log2(165/2)
A) log2 (5/2) + log2(16)
B) 5/2 + log2(16)
C) 32
D) 10
3. If A and B are two events with P(A) = 1/4, P(B) = 1/3 and P(A intersection B) =1/5, what is P(Bc | Ac) i.e. the probability of the complement of B when the complement of A is given?
A) 3/4
B) 37/45
C) 12/29
D) None of these
4. What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?
A) (x + y) / (x+y)
B) -x/(x+y) - y/(x+y)
C) ln(x+y) x + ln(x+y) y
D) 1 / (x+y)
5. Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8. What percentage of return volatility is explained by the first component? (You may use the fact that the sum of the diagonal elements of a square matrix is always equal to the sum of its eigenvalues.)
A) 64%
B) 75%
C) 98%
D) Cannot be determined without estimates of the volatilities of the individual returns
Solutions:
| Question # 1 Answer: C | Question # 2 Answer: D | Question # 3 Answer: B | Question # 4 Answer: A | Question # 5 Answer: B |
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