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Free Mathematical Foundations of Risk Measurement ? 2015 Edition Questions for PRMIA Mathematical Foundations of Risk Measurement ? 2015 Edition Exam as PDF & Practice Test Software

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Total 132 questions

Question 1

You want to test the hypothesis that a population parameter of a regression model is zero. Your alternative hypothesis is that 0. Denote by SD() the estimated standard deviation of , and by MEAN() the estimated mean of . Which test statistic is appropriate, and what is its distribution?



Answer : D

Question 2

In a multiple linear regression, the significance of R2 can be tested using which distribution?



Answer : C

Question 3

Which of the following statements are true about Maximum Likelihood Estimation?

(i) MLE can be applied even if the error terms are not i.i.d. normal.

(ii) MLE involves integrating a likelihood function or a log-likelihood function.

(iii) MLE yields parameter estimates that are consistent.



Answer : C

Question 4

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



Answer : B

Question 5

In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. The risk neutral probability for an up move is:



Answer : D

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Total 132 questions