PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition - 8007무료 덤프문제 풀어보기
Consider the linear regression model for the returns of stock A and the returns of stock B. Stock A is 50% more volatile than stock B. Which of the following statements is TRUE?
정답: B
Variance reduction is:
정답: A
Which of the following statements about variance and standard deviation are correct?
1. When calculated based on a sample of the population data, one has to correct for any bias in the result by using the number of degrees of freedom in the calculation
2. Variance is in square root units of the underlying data, whereas standard deviation is in units of the underlying data
3. When considering independent variables, variance is additive, while standard deviation is not
1. When calculated based on a sample of the population data, one has to correct for any bias in the result by using the number of degrees of freedom in the calculation
2. Variance is in square root units of the underlying data, whereas standard deviation is in units of the underlying data
3. When considering independent variables, variance is additive, while standard deviation is not
정답: D
Find the first-order Taylor approximation p(x) for the function: at the point .
정답: A
Let f(x) = c for x in [0,4] and 0 for other values of x.
What is the value of the constant c that makes f(x) a probability density function; and what if f(x) = cx for x in
[0,4]?
What is the value of the constant c that makes f(x) a probability density function; and what if f(x) = cx for x in
[0,4]?
정답: 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?
정답: A
A bond has modified duration 6 and convexity 30. Find the duration-convexity approximation to the percentage change in bond price when its yield increases by 5 basis points
정답: C