PRM Exam II: Mathematical Foundations of Risk Measurement

About PRM

Exam II of the PRM Certification programs tests a candidate's knowledge and understanding of the mathematical foundations of risk measurement. 24 questions need to be answered in 2 Hours with 60% accuracy to pass the Computer based exam with multiple choice questions. A good number of mathematical concepts covered in this exam will be helpful for implementing risk mitigation strategies and play a key role in different types of risk - Operational Risk, Credit risk and Market Risk. An associate in Risk management who becomes a certified risk manager or a risk Analyst requires a good knowledge of various mathematical as well as statistical concepts to implement effective strategies. Quantitative techniques become handy for Risk Analytics, Risk assessment tools, Risk Evaluation and Risk Measurement. A lot of these concepts are tested in FRM exam as well.

Key Topics Covered

Symbols and Rules Sequences and Series Exponents Logarithms
Equations Inequalities Functions and Graphs Time value of Money
Frequency Distribution Moments Central Tendency Dispersion
Bivariate Data Differential Calculus Modified Duration Higher Order Derivatives
Taylor Approximation Convexity Delta and Gamma Partial Differentiation
Integral Calculus Maxima and Minima Matrix Algebra Portfolio Construction
Hedging Options Cholesky Decomposition Eigen Values and Eigen Vectors Principal Component Analysis
Probability Probability Distributions Joint Distributions Binomial Distribution
Poisson Distribution Uniform Distribution Lognormal Distribution t- Distribution
Normal Distribution Simple Regression Multiple Regression Confidence Interval
Hypothesis Testing Prediction Heteroscedasticity Autocorrelation
Multicollinearity Random Walks Mean-Reversion Maximum Likelihood Estimation
Numerical Methods Solving Equations Numerical Optimisation Binomial Lattices
Simulation Goal Seek Solver Finite Difference

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