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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






2. Persistence






3. Confidence interval (from t)






4. K - th moment






5. Variance of aX






6. Conditional probability functions






7. Single variable (univariate) probability






8. Variance of X - Y assuming dependence






9. P - value






10. Two assumptions of square root rule






11. Non - parametric vs parametric calculation of VaR






12. Econometrics






13. GEV






14. Variance of aX + bY






15. Standard error






16. Mean reversion in asset dynamics






17. Mean reversion in variance






18. Panel data (longitudinal or micropanel)






19. Exponential distribution






20. Gamma distribution






21. Shortcomings of implied volatility






22. SER






23. Variance - covariance approach for VaR of a portfolio






24. Monte Carlo Simulations






25. Bernouli Distribution






26. Simulation models






27. EWMA






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


29. Multivariate probability






30. Variance of X+Y assuming dependence






31. Lognormal






32. Critical z values






33. Heteroskedastic






34. Empirical frequency






35. Homoskedastic






36. Priori (classical) probability






37. Unstable return distribution






38. Perfect multicollinearity






39. Variance of sample mean






40. Covariance calculations using weight sums (lambda)






41. Multivariate Density Estimation (MDE)






42. Significance =1






43. Test for unbiasedness






44. Implications of homoscedasticity






45. ESS






46. Standard normal distribution






47. Statistical (or empirical) model






48. Two ways to calculate historical volatility






49. Time series data






50. Normal distribution