PRMIA Exam 8010 Topic 1 Question 41 Discussion

Actual exam question for PRMIA's 8010 exam

Question #: 41
Topic #: 1

[All 8010 Questions]

Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio? (where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.)

AOption A

BOption B

COption C

DOption D

Show Suggested Answer

Suggested Answer: C

For EVT, we use the block maxima or the peaks-over-threshold methods. These provide us the data points that can be fitted to a GEV distribution.

Least squares and maximum likelihood are methods that are used for curve fitting, and they have a variety of applications across risk management.

by Simona at Feb 12, 2024, 12:46 AM

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Pok

2 days ago

Why do you think it's C?

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Jannette

10 days ago

I disagree, I believe the correct answer is C.

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Pok

11 days ago

I think the answer is B.

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