Test your basic knowledge |

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. Least squares estimator(m)






2. Confidence ellipse






3. What does the OLS minimize?






4. Block maxima






5. Mean reversion in variance






6. Consistent






7. Single variable (univariate) probability






8. Persistence






9. Heteroskedastic






10. Hybrid method for conditional volatility






11. Standard variable for non - normal distributions






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


13. Logistic distribution






14. Maximum likelihood method






15. Cholesky factorization (decomposition)






16. Simulating for VaR






17. Potential reasons for fat tails in return distributions






18. Two assumptions of square root rule






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


20. Simulation models






21. Test for unbiasedness






22. Pooled data






23. EWMA






24. K - th moment






25. Tractable






26. Simplified standard (un - weighted) variance






27. Skewness






28. Standard error for Monte Carlo replications






29. Continuously compounded return equation






30. Implied standard deviation for options






31. GARCH






32. Chi - squared distribution






33. F distribution






34. Direction of OVB






35. Biggest (and only real) drawback of GARCH mode






36. Type I error






37. Implications of homoscedasticity






38. Central Limit Theorem(CLT)






39. Key properties of linear regression






40. Beta distribution






41. Variance(discrete)






42. Multivariate Density Estimation (MDE)






43. Variance of X+Y






44. Econometrics






45. Variance of sample mean






46. Test for statistical independence






47. Type II Error






48. Exponential distribution






49. Standard error






50. Lognormal