Best Quality PRMIA 8007 Exam Questions PracticeTorrent Realistic Practice Exams [2021]
Critical Information To Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Pass the First Time
NEW QUESTION 37
Simple linear regression involves one dependent variable, one independent variable and one error variable. In contrast, multiple linear regression uses...
- A. Many dependent variables, many independent variables, many error variables
- B. One dependent variable, many independent variables, one error variable
- C. Many dependent variables, one independent variable, one error variable
- D. One dependent variable, one independent variable, many error variables
Answer: B
NEW QUESTION 38
The Lagrangian of a constrained optimisation problem is given by L(x,y,) = 16x+8x2+4y-(4x+y-20), where is the Lagrange multiplier. What is the solution for x and y?
- A. x = -1, y = 0
- B. None of the above
- C. x = 0, y = 20
- D. x = 5, y = 0
Answer: C
NEW QUESTION 39
A biased coin has a probability of getting heads equal to 0.3. If the coin is tossed 4 times, what is the probability of getting heads at least two times?
- A. 0.7367
- B. 0.3483
- C. 0.2646
- D. None of these
Answer: B
NEW QUESTION 40
What is the maximum value of the function F(x, y)=x2+y2 in the domain defined by inequalities x 1, y -2, y-x 3 ?
- A. 0
- B. 1
- C. 2
- D. 3
Answer: D
NEW QUESTION 41
For the function f(x) =3x-x3 which of the following is true?
- A. x = -3 is a maximum
- B. x = 0 is a minimum
- C. None of these
- D. x = 2 is a maximum
Answer: C
NEW QUESTION 42
A 95% confidence interval for a parameter estimate can be interpreted as follows:
- A. The probability that the real value of the parameter is outside this interval is 95%.
- B. The probability that the estimated value of the parameter is outside this interval is 95%.
- C. The probability that the estimated value of the parameter is within this interval is 95%.
- D. The probability that the real value of the parameter is within this interval is 95%.
Answer: D
NEW QUESTION 43
You are given the following values of a quadratic function f(x): f(0)=0, f(1)=-2, f(2)=-5. On the basis of these data, the derivative f'(0) is ...
- A. in the interval ]-2,+[
- B. in the interval ]-2.5,-2[
- C. equal to -2
- D. in the interval ]-,-2.5]
Answer: A
NEW QUESTION 44
Which statement regarding the matrix below is true?
- A. It is positive semi-definite
- B. It is negative definite
- C. It is positive definite
- D. It is not positive definite
Answer: D
NEW QUESTION 45
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.
- A. (i), (ii), and (iii)
- B. (i) only
- C. (i) and (ii)
- D. (i) and (iii)
Answer: D
NEW QUESTION 46
The first derivative of a function f(x) is zero at some point, the second derivative is also zero at this point. This means that:
- A. f has necessarily neither a minimum nor a maximum at this point
- B. f has necessarily a maximum at this point
- C. f might have either a minimum or a maximum or neither of them at this point
- D. f has necessarily a minimum at this point
Answer: C
NEW QUESTION 47
Every covariance matrix must be positive semi-definite. If it were not then:
- A. All the above statements are true
- B. Some portfolios could have a negative variance
- C. It could not be used to simulate correlated asset paths
- D. The associated correlation matrix would not be positive semi-definite
Answer: A
NEW QUESTION 48
If the annual volatility of returns is 25% what is the variance of the quarterly returns?
- A. 0.1250
- B. 0.0625
- C. 0.0156
- D. None of the above
Answer: C
NEW QUESTION 49
What is the indefinite integral of the function f(x) = ln(x), where ln(x) denotes the natural logarithmic function?
- A. 1/x
- B. ln(x) - x
- C. exp(x)
- D. x ln(x) - x
Answer: D
NEW QUESTION 50
Your stockbroker randomly recommends stocks to his clients from a tip sheet he is given each day. Today, his tip sheet has 3 common stocks and 5 preferred stocks from Asian companies and 3 common stocks and 5 preferred stocks from European companies. What is the probability that he will recommend a common stock AND/OR a European stock to you when you call and ask for one stock to buy today?
- A. 11/16
- B. 9/16
- C. None of these
- D. 7/8
Answer: A
NEW QUESTION 51
In a multiple linear regression, the significance of R2 can be tested using which distribution?
- A. Binomial distribution
- B. Student's t distribution
- C. Normal distribution
- D. F-distribution
Answer: D
NEW QUESTION 52
A 2-step binomial tree is used to value an American put option with strike 104, given that the underlying price is currently 100. At each step the underlying price can move up by 20% or down by 20% and the risk-neutral probability of an up move is 0.55. There are no dividends paid on the underlying and the discretely compounded risk free interest rate over each time step is 2%. What is the value of the option in this model?
- A. 11.82
- B. 12.33
- C. 12.78
- D. 12.49
Answer: D
NEW QUESTION 53
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
- A. 0.488%
- B. 0.25%
- C. 0.495%
- D. 0.49%
Answer: A
NEW QUESTION 54
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