最新的PRMIA 8002免費考試真題

問題1

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

A. The null hypothesis is accepted when in fact it should have been rejected

B. Both null hypothesis and alternative hypothesis are accepted

C. The null hypothesis is rejected when in fact it should have been accepted

D. Both null hypothesis and alternative hypothesis are rejected

正確答案: C

問題2

Assume that 40% of all financial organizations investigated by authorities turn out to be fraudulent.
What is the probability of randomly investigating 2 different organizations and finding that neither is fraudulent; and what is the probability of finding exactly one being fraudulent?

A. 2/5 and 3/5

B. 1/3 and 8/17

C. 9/25 and 12/25

D. 2/5 and 1/2

正確答案: C

問題3

A typical leptokurtotic distribution can be described as a distribution that is relative to a normal distribution

A. peaked and thin at the center and with thin tails

B. flat and thick at the center and with thin tails

C. peaked and thin at the center and with heavy (fat) tails

D. flat and thick at the center and with heavy (fat) tails

正確答案: C

問題4

Every covariance matrix must be positive semi-definite. If it were not then:

A. Some portfolios could have a negative variance

B. It could not be used to simulate correlated asset paths

C. The associated correlation matrix would not be positive semi-definite

D. All the above statements are true

正確答案: D

問題5

The Newton-Raphson method

A. does provide an error bound along with every iteration

B. is based on Taylor series and uses the first derivative

C. can be used for continuous but not differentiable functions

D. is based on finding a middle point between left and right end of the search interval

正確答案: B

問題6

What is a Hessian?

A. The point at which a minimum of a multidimensional function is achieved

B. The vector of partial derivatives of a contingent claim

C. Correlation matrix of market indices

D. A matrix of second derivatives of a function

正確答案: D

問題7

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. 29

B. 17

C. 1

D. -25

正確答案: A

問題8

A 2-step binomial tree is used to value an American put option with strike 105, given that the underlying price is currently 100. At each step the underlying price can move up by 10 or down by 10 and the risk-neutral probability of an up move is 0.6. There are no dividends paid on the underlying and the continuously compounded risk free interest rate over each time step is 1%. What is the value of the option in this model?

A. 7.44

B. 7.29

C. 7.12

D. 6.59

正確答案: C

問題9

For the function f(x) =3x-x3 which of the following is true?

A. None of these

B. x = 2 is a maximum

C. x = -3 is a maximum

D. x = 0 is a minimum

正確答案: A

最新的PRMIA PRM Certification - Exam II: Mathematical Foundations of Risk Measurement - 8002免費考試真題

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