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FRM Foundations Of Risk Management Quantitative Methods

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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. Confidence ellipse

2. Regime - switching volatility model

3. Implied standard deviation for options

4. Importance sampling technique

5. Variance - covariance approach for VaR of a portfolio

6. Persistence

7. GPD

8. Adjusted R^2

9. Variance of X+Y assuming dependence

10. Variance of aX + bY

11. Bernouli Distribution

12. Reliability

13. Type II Error

14. Logistic distribution

15. ESS

16. Marginal unconditional probability function

17. F distribution

18. T distribution

19. Block maxima

20. Covariance calculations using weight sums (lambda)

21. Continuous representation of the GBM

22. Deterministic Simulation

23. Extreme Value Theory

24. Hazard rate of exponentially distributed random variable

25. GEV

26. Time series data

27. Two requirements of OVB

28. Cholesky factorization (decomposition)

29. Mean reversion in variance

30. Homoskedastic

31. Mean reversion in asset dynamics

32. Two assumptions of square root rule

33. Simplified standard (un - weighted) variance

34. Standard variable for non - normal distributions

35. Tractable

36. Four sampling distributions

37. Standard error

38. SER

39. Significance =1

40. Antithetic variable technique

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

42. Potential reasons for fat tails in return distributions

43. BLUE

44. Monte Carlo Simulations

45. P - value

46. Multivariate Density Estimation (MDE)

47. K - th moment

48. Difference between population and sample variance

49. Implications of homoscedasticity

50. Control variates technique