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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.)

A)

B)

C)

D)

Show Suggested Answer Hide 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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Leslie
54 minutes ago
Option D looks promising, but I don't want to jump to conclusions. Gotta work through this step-by-step.
upvoted 0 times
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Sherita
1 days ago
Hmm, I'm not sure about this one. I'll have to review my notes on incremental VaR.
upvoted 0 times
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Sommer
13 days ago
This looks like a tricky question. I'm going to need to think it through carefully.
upvoted 0 times
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Pok
16 days ago
Why do you think it's C?
upvoted 0 times
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Jannette
24 days ago
I disagree, I believe the correct answer is C.
upvoted 0 times
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Pok
25 days ago
I think the answer is B.
upvoted 0 times
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