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

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The fundamental theorem of analysis establishes a relation between

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 less than 1?

Let N(.) denote the cumulative distribution function and suppose that X and Y are standard normally distributed and uncorrelated. Using the fact that N(1.96)=0.975, the probability that X 0 and Y 1.96 is approximately

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?

An operational risk analyst models the occurrence of computer failures as a Poisson process with an arrival rate of 2 events per year. According to this model, what is the probability of zero failures in one year?

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

The gradient of a smooth function is

Let E(X ) = 1, E(Y ) = 3, Corr(X, Y ) = -0.2, E(X2 ) = 10 and E(Y2 ) = 13. Find the covariance between X and Y

In a 2-step binomial tree, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of d = 1/u. The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. Use the Cox, Ross, Rubinstein parameterization to find the risk neutral probability and hence find the value of a European put option with strike 102, given that the underlying price is currently 100.

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 ?

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トータル 133 問