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Exam II: Mathematical Foundations of Risk Measurement (8002) - PRMIA Exam Questions

Last updated on June 20, 2026

97% Exam Compliance
132 Total Questions
1
Question
For the function f(x) =3x-x3 which of the following is true?
Options
A x = -3 is a maximum
B x = 2 is a maximum
C None of these
D x = 0 is a minimum
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2
Question
Suppose that f(x) and g(x,y) are functions. What is the partial derivative of f(g(x,y)) with respect to y?
Options
A f(dg/dy)
B f'(g(x,y))
C f'(g(x,y)) dg/dy
D f(g(x,y)) dg/dy
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3
Question
I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both
20%, while the correlation of returns is 100%. The volatility of my portfolio is
Options
A 4%
B 14.4%
C 24%
D 20%
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4
Question
A 95% confidence interval for a parameter estimate can be interpreted as follows:
Options
A The probability that the real value of the parameter is outside this interval is 95%.
B The probability that the real value of the parameter is within this interval is 95%.
C The probability that the estimated value of the parameter is within this interval is 95%.
D The probability that the estimated value of the parameter is outside this interval is 95%.
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5
Question
You are given the following regressions of the first difference of the log of a commodity price on the lagged price and of the first difference of the log return on the lagged log return. Each regression is based on 100 data points and figures in square brackets denote the estimated standard errors of the coefficient estimates:

Which of the following hypotheses can be accepted based on these regressions at the 5% confidence
level (corresponding to a critical value of the Dickey Fuller test statistic of – 2.89)?
Options
A The commodity returns are stationary
B The commodity prices are stationary
C None of the above
D The commodity returns are integrated of order 1
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