PRMIA PRM Certification - Exam II: Mathematical Foundations of Risk Measurement - 8002 FREE EXAM DUMPS QUESTIONS & ANSWERS

Let X be a random variable normally distributed with zero mean and let . Then the correlation between X and Y is:

Consider the linear regression model for the returns of stock A and the returns of stock B.
Stock A is 50% more volatile than stock B.
Which of the following statements is TRUE?

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.)

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

Which of the following properties is exhibited by multiplication, but not by addition?

Consider an investment fund with the following annual return rates over 8 years: +6%, -6%, +12%, -12%, +3%, -3%, +9%, -9% .
What can you say about the annual geometric and arithmetic mean returns of this investment fund?

A simple linear regression is based on 100 data points. The total sum of squares is 1.5 and the correlation between the dependent and explanatory variables is 0.5. What is the explained sum of squares?