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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. T distribution






2. GARCH






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