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PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:
1. 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) [1, 2]
D) None of the above
2. Exploring a regression model for values of the independent variable that have not been observed is most accurately described as...
A) Hypothesis testing
B) Regression
C) Estimation
D) Prediction
3. 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) The probability of an up move will not be constant
C) None of the above
D) The lattice will not recombine
4. A quadratic form is
A) an algebraic expression in two variables, x and y, involving , , and terms.
B) an algebraic expression in two variables, x and y, involving , and terms.
C) defined as a positive definite Hessian matrix.
D) a specific solution of the Black-Scholes pricing formula
5. Which of the following statements concerning class intervals used for grouping of data is correct?
When grouping data, attention must be paid to the following with regards to class intervals:
1. Class intervals should not overlap
2. Class intervals should be of equal size unless there is a specific need to highlight data within a specific subgroup
3. The class intervals should be large enough so that they not obscure interesting variation within the group
A) Statements 1 and 2 are correct
B) All three statements are correct
C) Statements 2 and 3 are correct
D) Statements 1 and 3 are correct
Solutions:
| Question # 1 Answer: A | Question # 2 Answer: D | Question # 3 Answer: C | Question # 4 Answer: B | Question # 5 Answer: A |
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