Pass the PRMIA PRM Certification 8002 Questions and answers with ExamsMirror

An operational risk analyst models the occurrence of computer failures as a Poisson process with an arrival rate of 2 events per year. According to this model, what is the probability of zero failures in one year?

Every covariance matrix must be positive semi-definite. If it were not then:

Which of the following is not a sequence?

A bond has modified duration 6 and convexity 30. Find the duration-convexity approximation to the percentage change in bond price when its yield increases by 5 basis points

The Newton-Raphson method

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?

Over four consecutive years fund X returns 1%, 5%, -3%, 8%. What is the average growth rate of fund X over this period?

Which of the following statements are true about Maximum Likelihood Estimation?

(i) MLE can be applied even if the error terms are not i.i.d. normal.

(ii) MLE involves integrating a likelihood function or a log-likelihood function.

(iii) MLE yields parameter estimates that are consistent.

Which of the following statements about skewness of an empirical probability distribution are correct?

1. When sampling returns from a time series of asset prices, discretely compounded returns exhibit higher skewness than continuously compounded returns

2. When the mean is significantly less than the median, this is an indication of negative skewness

3. Skewness is a sign of asymmetry in the dispersion of the data

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?