PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition - 8007 Exam Practice Test

Calculate the determinant of the following matrix:
Correct Answer: C
Solve the simultaneous linear equations: x + 2y - 2 = 0 and y - 3x = 8
Correct Answer: C
I have a portfolio of two stocks. The weights are equal. The one volatility is 30% while the other is 40%. The minimum and maximum possible values of the volatility of my portfolio are:
Correct Answer: D
Two vectors are orthogonal when:
Correct Answer: C
For the function f(x) =3x-x3 which of the following is true?
Correct Answer: A
Let N(.) denote the cumulative distribution function and suppose that X and Y are standard normally distributed and uncorrelated. Using the fact that N(1.96)=0.975, the probability that X 0 and Y 1.96 is approximately
Correct Answer: B
In a 2-step binomial tree, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of d = 1/u. The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. Use the Cox, Ross, Rubinstein parameterization to find the risk neutral probability and hence find the value of a European put option with strike 102, given that the underlying price is currently 100.
Correct Answer: D
Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1
Correct Answer: A
In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. The risk neutral probability for an up move is:
Correct Answer: B
Let X be a random variable normally distributed with zero mean and let . Then the correlation between X and Y is:
Correct Answer: A