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PRMIA Mathematical Foundations of Risk Measurement ? 2015 Edition Exam
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Free PRMIA Mathematical Foundations of Risk Measurement ? 2015 Edition Exam Actual Questions
The questions for Mathematical Foundations of Risk Measurement ? 2015 Edition were last updated On Sep. 19, 2023
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?
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?
Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?
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?
Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?
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