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FRM Foundations Of Risk Management Quantitative Methods

Instructions:
  • Answer 50 questions in 15 minutes.
  • If you are not ready to take this test, you can study here.
  • Match each statement with the correct term.
  • Don't refresh. All questions and answers are randomly picked and ordered every time you load a test.

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






9. LFHS






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