8002試験無料問題集（132題）「PRMIA PRM Certification - Exam II: Mathematical Foundations of Risk Measurement 認定」

出題：1

What is the 40th term in the following series: 4, 14, 30, 52, ...?

A. 4598

B. 240

C. 4840

D. 4960

正解：C 解答を投票する

出題：2

Which of the following properties is exhibited by multiplication, but not by addition?

A. invertibility

B. associativity

C. commutativity

D. distributivity

正解：D 解答を投票する

出題：3

Identify the type and common element (that is, common ratio or common difference) of the following sequence: 6, 12, 24

A. arithmetic sequence, common ratio 2

B. geometric sequence, common ratio 2

C. geometric sequence, common ratio 3

D. arithmetic sequence, common difference 2

正解：B 解答を投票する

出題：4

For a quadratic equation, which of the following is FALSE?

A. If the discriminant is negative, there are no real solutions

B. If the discriminant is zero, there is only one solution

C. If the discriminant is positive there are two different real solutions

D. If the discriminant is negative there are two different real solutions

正解：D 解答を投票する

出題：5

Which of the following statements about skewness of an empirical probability distribution are correct?
1.When sampling returns from a time series of asset prices, discretely compounded returns exhibit higher skewness than continuously compounded returns
2.When the mean is significantly less than the median, this is an indication of negative skewness
3.Skewness is a sign of asymmetry in the dispersion of the data

A. All three statements are correct

B. Statements 2 and 3 are correct

C. Statements 1 and 3 are correct

D. Statements 1 and 2 are correct

正解：A 解答を投票する

出題：6

The correlation between two asset returns is 0.5. What is the largest eigenvalue of their correlation matrix?

A. 0.5

B. 1

C. None of the above

D. 1.5

正解：D 解答を投票する

出題：7

Suppose 60% of capital is invested in asset 1, with volatility 40% and the rest is invested in asset 2, with volatility 30%. If the two asset returns have a correlation of -0.5, what is the volatility of the portfolio?

A. 26.33%

B. 36%

C. 20.78%

D. 36.33%

正解：C 解答を投票する

出題：8

Which of the following is consistent with the definition of a Type I error?

A. The probability of a Type I error is 100% minus the significance level

B. A Type I occurs whenever data series are serially correlated

C. A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of no correlation was rejected

D. A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of positive correlation was rejected

正解：D 解答を投票する

出題：9

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

A. 24 basis point rise

B. 30 basis points fall.

C. 24 basis fall

D. 10 basis point rise

正解：B 解答を投票する

出題：10

Suppose I trade an option and I wish to hedge that option for delta and vega. Another option is available to trade. To complete the hedge I would

A. trade the other option in such a way as to make the portfolio delta and vega neutral.

B. trade the other option in such a way as to make the portfolio vega neutral, and then trade the underlying in such a way as to make the portfolio delta neutral.

C. trade the underlying in such a way as to make the portfolio delta and vega neutral.

D. trade the underlying in such a way as to make the portfolio delta neutral, and then trade the other option in such a way as to make the portfolio vega neutral.

正解：B 解答を投票する

8002試験無料問題集「PRMIA PRM Certification - Exam II: Mathematical Foundations of Risk Measurement 認定」