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FRM Foundations Of Risk Management Quantitative Methods

  • Answer 50 questions in 15 minutes.
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This is a study tool. The 3 wrong answers for each question are randomly chosen from answers to other questions. So, you might find at times the answers obvious, but you will see it re-enforces your understanding as you take the test each time.
1. T distribution


3. Continuously compounded return equation

4. Binomial distribution equations for mean variance and std dev

5. Confidence ellipse

6. Implications of homoscedasticity

7. Unconditional vs conditional distributions

8. Variance - covariance approach for VaR of a portfolio

9. Variance of X+Y

10. EWMA

11. Covariance

12. Standard error for Monte Carlo replications

13. Confidence interval for sample mean

14. Tractable

15. POT

16. Variance of aX + bY

17. GPD

18. Confidence interval (from t)

19. Key properties of linear regression

20. K - th moment

21. Sample mean

22. Priori (classical) probability

23. GEV

24. Extending the HS approach for computing value of a portfolio

25. Overall F - statistic

26. Beta distribution

27. Limitations of R^2 (what an increase doesn't necessarily imply)

28. Mean reversion in variance

29. Type II Error

30. Homoskedastic

31. Central Limit Theorem

32. Simulating for VaR

33. Significance =1

34. Multivariate Density Estimation (MDE)

35. Shortcomings of implied volatility

36. Regime - switching volatility model

37. Exponential distribution

38. Weibul distribution

39. Expected future variance rate (t periods forward)

40. Mean reversion

41. Two drawbacks of moving average series

42. Potential reasons for fat tails in return distributions

43. Type I error

44. LFHS

45. Law of Large Numbers

46. Poisson Distribution

47. LAD

48. Inverse transform method

49. Two ways to calculate historical volatility

50. Control variates technique