PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition - 8007 Exam Practice Test
Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is:
Correct Answer: D
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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
Correct Answer: A
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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
Correct Answer: C
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Let X be a random variable distributed normally with mean 0 and standard deviation 1. What is the expected value of exp(X)?
Correct Answer: C
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Which of the following can be used to evaluate a regression model?
(i) Magnitude of R2
(ii) Magnitude of TSS (total sum of squares)
(iii) Tests for statistical significance
(iv) Sign and magnitude of each regression parameter
(i) Magnitude of R2
(ii) Magnitude of TSS (total sum of squares)
(iii) Tests for statistical significance
(iv) Sign and magnitude of each regression parameter
Correct Answer: D
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Kurtosis(X) is defined as the fourth centred moment of X, divided by the square of the variance of X.
Assuming X is a normally distributed variable, what is Kurtosis(X)?
Assuming X is a normally distributed variable, what is Kurtosis(X)?
Correct Answer: C
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