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

When a number is written with a fraction as an exponent, such as , which of the following is the correct computation?

A. Take the square-root of 75 and raise it to the 5th power

B. Square 75, then take the fifth root of it

C. Divide 75 by 2, then raise it to the 5th power

D. Multiply 75 by 2.5

正解：A 解答を投票する

出題：2

The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?

A. 0.5

B. 1

C. None of the above

D. 0

正解：D 解答を投票する

出題：3

Which of the following is not a sequence?

A. , , , , , , ...

B. , , , , ...

C. 30

D. , , , ... , , ...

正解：C 解答を投票する

出題：4

What can be said about observations of random variables that are i.i.d. a normally distributed?

A. The estimated mean divided by the estimated standard deviation has a t-distribution

B. The estimated mean divided by the estimated variance has a Chi2-distribution

C. The estimated mean divided by the estimated variance has a t-distribution

D. The estimated mean divided by the estimated standard deviation has a Chi2-distribution

正解：A 解答を投票する

出題：5

Simple linear regression involves one dependent variable, one independent variable and one error variable. In contrast, multiple linear regression uses...

A. Many dependent variables, many independent variables, many error variables

B. Many dependent variables, one independent variable, one error variable

C. One dependent variable, one independent variable, many error variables

D. One dependent variable, many independent variables, one error variable

正解：D 解答を投票する

出題：6

What is the angle between the following two three dimensional vectors: a=(1,2,3), b=(-4,2,0)?

A. 90 degrees

B. 180 degrees

C. 57 degrees

D. 45 degrees

正解：A 解答を投票する

出題：7

A 2-step binomial tree is used to value an American put option with strike 104, given that the underlying price is currently 100. At each step the underlying price can move up by 20% or down by 20% and the risk-neutral probability of an up move is 0.55. There are no dividends paid on the underlying and the discretely compounded risk free interest rate over each time step is 2%. What is the value of the option in this model?

A. 12.78

B. 12.33

C. 11.82

D. 12.49

正解：D 解答を投票する

出題：8

Consider a binomial lattice where a security price S moves up by a factor u with probability p, or down by a factor d with probability 1 - p. If we set d > 1/u then which of the following will be TRUE?

A. There will always be a downward drift in the lattice

B. None of the above

C. The probability of an up move will not be constant

D. The lattice will not recombine

正解：B 解答を投票する

出題：9

A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Modified Duration of the bond?

A. 2

B. 1.75

C. 1.86

D. 1.95

正解：C 解答を投票する

出題：10

Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1

A. 0.5

B. 2

C. 1

D. 0

正解：D 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」