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PRMIA :: Exam Content
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- MATHEMATICS (20% Total)
- Calculus (5%)
Derivatives
Single and multiple integrals
Word problems
Rate of change
Optimization
Area/volume
- Linear algebra (5%)
Matrix operations
Determinants
Singular/nonsingular matrices
Eigenvalues/Eigenvectors
Positive definite matrices
Cholesky factorization
- Probability (10%)
Probability distributions
Random variables and random vectors
Probability functions, probability distribution functions and cumulative
distribution functions
Conditional probabilities
Marginal probabilities
Parameters
Mean
Variance
Skewness
Kurtosis
Covariance and correlation matrices
Linear polynomials of random vectors
Distribution families
Uniform
Normal (including standard normal tables)
Lognormal
Chi-Squared
Poisson
Principal components
Word problems
- FINANCE (25% Total)
- Finance theory (10%)
Asset Pricing Theory
Mean-Variance Portfolio Theory
Efficient frontiers
Capital market line
CAPM, APT, ICAPM, CCAPM
Beta
Black-Scholes-Merton theory
Interest rate parity
Put-call parity
- Financial instruments (descriptive and pricing knowledge) (5%)
Compounding methods (simple, annual, semi-annual, continuous)
Simple (non-optional) bonds
Floating rate notes
Futures
Forwards
Swaps
Options
- Markets (10%)
Money market / FX market
Markets for commodities (natural gas and oil)
- FINANCIAL RISKS (30% Total)
- Market risk (10%)
Duration and convexity
Greeks of instruments and portfolios
Value-at-Risk (VaR)
Calculation of VaR for linear portfolios
Monte Carlo and Historical calculation of VaR
Covariance matrix construction (UWMA and EWMA)
Market risk limits (stop-loss, exposure, VaR)
Stress testing
- Credit risk (15%)
Exposure, loss given default and expected loss
Marginal vs cumulative default risk
Corporate vs sovereign risk
Settlement risk and netting systems
Market prices, accounting (Altman) and actuarial methods
Rating agencies and their grades
Transition matrix
Credit derivatives
- Operational risk (5%)
Typologies of operational risk
Insurance, reinsurance
Causal models
Risk management processes, prevention and mitigation
Loss events databases and their uses
- CASE STUDIES (20% Total)
- Barings (5%)
- Metallgesellschaft (5%)
- LTCM (5%)
- Group of 30 Report (5%)
- PRMIA BYLAWS AND CODE OF CONDUCT (5% Total)
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