PRMIA Exam 8007 Topic 1 Question 43 Discussion

Actual exam question for PRMIA's 8007 exam

Question #: 43
Topic #: 1

Stress testing portfolios requires changing the asset volatilities and correlations to extreme values. Which of the following would lead to a non positive definite covariance matrix?

AChanging the volatilities to be greater than 100%

BChanging all the correlations to be unity

CChanging all the correlations to be zero

DAll of the above

Show Suggested Answer

Suggested Answer: B

by Ettie at Sep 19, 2022, 07:06 PM

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