Deal of the Day! Hurry Up, Grab the Special Discount - Save 25% - Ends In 00:00:00 Coupon code: SAVE25

Certification Provider: PRMIA

Exam Name: Mathematical Foundations of Risk Measurement ? 2015 Edition

Number of questions in our database: 132

Exam Version: Sep. 19, 2023

Mathematical Foundations of Risk Measurement ? 2015 Edition Exam Official Topics:

**Topic 1:**Single Topic

Question #1

You are to perform a simple linear regression using the dependent variable Y and the independent variable X (Y = a + bX). Suppose that cov(X,Y)=10, var(X)= 5, and that the mean of X is 1 and the mean of Y is 2. What are the values for the regression parameters a and b?

Question #2

A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

Question #3

Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

Question #4

A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

Question #5

Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

Unlock all Mathematical Foundations of Risk Measurement ? 2015 Edition Exam Questions with Advanced Practice Test Features:

- Select Question Types you want
- Set your Desired Pass Percentage
- Allocate Time (Hours : Minutes)
- Create Multiple Practice tests with Limited Questions
- Customer Support

Submit Cancel