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FRM Foundations Of Risk Management Quantitative Methods

  • Answer 50 questions in 15 minutes.
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  • Match each statement with the correct term.
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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. Mean reversion in variance

2. Variance of X - Y assuming dependence

3. GPD

4. Maximum likelihood method

5. Sample covariance

6. Sample variance

7. Variance of weighted scheme

8. Hybrid method for conditional volatility


10. Adjusted R^2

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

12. Covariance

13. K - th moment

14. Significance =1

15. Cholesky factorization (decomposition)

16. Critical z values

17. Unbiased

18. Variance of X+b

19. Exact significance level

20. Hazard rate of exponentially distributed random variable

21. Square root rule

22. Variance(discrete)

23. Overall F - statistic

24. Continuously compounded return equation

25. Standard error for Monte Carlo replications

26. Kurtosis

27. Extreme Value Theory

28. Two ways to calculate historical volatility

29. Statistical (or empirical) model

30. Key properties of linear regression

31. BLUE

32. Sample correlation

33. Central Limit Theorem(CLT)

34. Sample mean

35. i.i.d.

36. Econometrics

37. Historical std dev

38. Simplified standard (un - weighted) variance

39. Variance of sampling distribution of means when n<N

40. WLS

41. What does the OLS minimize?

42. Multivariate Density Estimation (MDE)

43. Two drawbacks of moving average series

44. Importance sampling technique

45. Conditional probability functions

46. Non - parametric vs parametric calculation of VaR

47. Mean reversion

48. Difference between population and sample variance

49. Variance of aX + bY

50. Standard error