8007試験無料問題集（133題）「PRMIA Exam II: Mathematical Foundations of Risk Measurement

出題：1

Evaluate the derivative of ln(1+ x2) at the point x = 1

A. 0.5

B. 2

C. 1

D. 0

正解：C 解答を投票する

出題：2

The natural logarithm of x is:

A. the inverse function of exp(x)

B. 46

C. always greater than x, for x>0

D. log(e)

正解：A 解答を投票する

出題：3

In statistical hypothesis tests, 'Type I error' refers to the situation in which...

A. Both null hypothesis and alternative hypothesis are rejected

B. Both null hypothesis and alternative hypothesis are accepted

C. The null hypothesis is rejected when in fact it should have been accepted

D. The null hypothesis is accepted when in fact it should have been rejected

正解：C 解答を投票する

出題：4

A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates. What is the value of the test statistic for the hypothesis that the coefficient of is zero against the alternative that is less than zero?

A. 0.125

B. -2.5

C. -1.25

D. 2.5

正解：B 解答を投票する

出題：5

If a time series has to be differenced twice in order to be transformed into a stationary series, the original series is said to be:

A. integrated of order 2

B. non-functional

C. non-linear

D. differential

正解：A 解答を投票する

出題：6

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：7

Which of the following statements is true?

A. Continuous compounding can be thought as making the compounding period infinitesimally small.

B. Discrete and continuous compounding produce the same results if the discount rate is positive.

C. Continuous compounding is the better method because it results in higher present values compared to discrete compounding.

D. The constant plays an important role in the mathematical description of continuous compounding.

正解：A 解答を投票する

出題：8

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：9

A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates.
Which of the following is an approximate 95% confidence interval for the true value of the coefficient of ?

A. [0, 3]

B. [0, 1.5]

C. None of the above

D. [1, 2]

正解：A 解答を投票する

出題：10

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European put option has a strike of 105 and a maturity of 90 days. Its Black-Scholes price is 7.11. The options sensitivities are: delta = -0.59; gamma = 0.03; vega = 19.29. Find the delta-gamma approximation to the new option price when the underlying asset price changes to 105

A. 4.59

B. 4.54

C. 6.49

D. 5.03

正解：B 解答を投票する

8007試験無料問題集「PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition 認定」