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FRM® Practice Questions (PQs; for PAID customers)
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P2.T5. Market Risk
Practice questions for Market Risk Measurement & Management
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P2.T5.24.1 Correlation in derivatives and managing market risk of multi-asset portfolios
Nicole Seaman
Sep 5, 2024
Replies
6
Views
61
Oct 7, 2024
gsarm1987
P2.T5.23.8 Fundamental Review of the Trading Book (FRTB)
Nicole Seaman
Apr 5, 2023
Replies
1
Views
235
Apr 12, 2023
enjofaes
P2.T5.23.7 More Volatility Smiles
Nicole Seaman
Mar 29, 2023
Replies
6
Views
198
Jul 15, 2024
gsarm1987
P2.T5.23.6. Implied volatility
Nicole Seaman
Mar 22, 2023
Replies
0
Views
34
Mar 22, 2023
Nicole Seaman
P2.T5.23.5 Cox-Ingersoll-Ross (CIR) model
David Harper CFA FRM
Mar 16, 2023
Replies
4
Views
181
Sep 27, 2024
Clay Carter
P2.T5.23.4 Vasicek term structure model
Nicole Seaman
Mar 8, 2023
Replies
6
Views
195
Apr 21, 2024
David Harper CFA FRM
P2.T5.23.3. Evolution of short rates and shape of the term structure
Nicole Seaman
Mar 1, 2023
Replies
4
Views
281
May 20, 2023
yLam4028
Y
P2.T5.23.2. Multi-period interest rate trees
David Harper CFA FRM
Feb 22, 2023
Replies
11
Views
371
Sep 3, 2024
Nicole Seaman
P2.T5.23.1. Risk-neutral interest rate term structure
Nicole Seaman
Feb 15, 2023
Replies
18
Views
444
Aug 14, 2024
David Harper CFA FRM
P2.T5.22.15. Fixed income regression and principal component analysis (PCA)
Nicole Seaman
Jan 18, 2023
Replies
6
Views
204
May 22, 2023
David Harper CFA FRM
P2.T5.22.14. Empirical approaches to fixed income hedging
David Harper CFA FRM
Dec 7, 2022
Replies
4
Views
199
May 1, 2023
David Harper CFA FRM
P2.T5.22.13. Copula functions for financial dependence
Nicole Seaman
Nov 30, 2022
Replies
2
Views
138
Apr 25, 2023
David Harper CFA FRM
P2.T5.22.12. Correlation Properties
David Harper CFA FRM
Nov 23, 2022
Replies
3
Views
153
May 18, 2023
David Harper CFA FRM
P2.T5.22.11 Correlation Basics
Nicole Seaman
Nov 16, 2022
Replies
7
Views
253
Mar 14, 2024
TNguy5388
T
P2.T5.22.10. Value at risk (VaR) mapping
Nicole Seaman
Nov 2, 2022
Replies
6
Views
190
Jan 21, 2024
gsarm1987
P2.T5.22.9. VaR Mapping
Nicole Seaman
Oct 26, 2022
Replies
8
Views
369
May 21, 2024
Nicole Seaman
P2.T5.22.8. Value at risk (VaR) backtest power and additional approaches
David Harper CFA FRM
Apr 20, 2022
Replies
13
Views
422
Jun 25, 2024
TEkaz8632
T
P2.T5.22.7 Value at risk (VaR) backtest
Nicole Seaman
Mar 30, 2022
Replies
17
Views
399
Apr 21, 2024
David Harper CFA FRM
P2.T5.22.6. Blocks (BM) approach to extreme value theory (EVT)
Nicole Seaman
Mar 23, 2022
Replies
6
Views
287
Apr 30, 2023
JLafr0337
J
P2.T5.22.5. Peaks-over-threshold (POT) approach to extreme value theory (EVT)
David Harper CFA FRM
Mar 16, 2022
Replies
7
Views
253
Dec 20, 2022
Lu Shu Kai FRM
P2.T5.22.4. Semi-parametric historical simulation value at risk (HS VaR)
Nicole Seaman
Mar 2, 2022
Replies
13
Views
326
Oct 1, 2023
gsarm1987
P2.T5.22.3 Historical simulation approaches to value at risk (VaR) and expected shortfall (ES)
Nicole Seaman
Feb 23, 2022
Replies
13
Views
279
May 29, 2023
David Harper CFA FRM
P2.T5.22.2 Coherent measures and their standard errors
Nicole Seaman
Feb 16, 2022
Replies
9
Views
241
Dec 8, 2023
David Harper CFA FRM
P2.T5.22.1 Basic historical simulation value at risk (HS VaR), lognormal VaR, and expected shortfall (ES)
David Harper CFA FRM
Feb 9, 2022
2
Replies
22
Views
808
May 10, 2023
David Harper CFA FRM
A
DV01 definition clarification needed (extreme mental emergency)
alexwallace
Apr 1, 2021
Replies
2
Views
35
Apr 3, 2021
alexwallace
A
P2.T5.717. Value at risk (VaR) mapping (Jorion Ch.11)
Nicole Seaman
Jan 10, 2018
Replies
10
Views
864
Nov 6, 2021
David Harper CFA FRM
P2.T5.716. Value at risk (VaR) mapping for stress testing and performance benchmarking (Jorion)
Nicole Seaman
Jan 3, 2018
2
3
Replies
41
Views
1K
Jun 4, 2023
Shau_2207
P2.T5.715. Fixed-income portfolio mapping approaches (principal, duration, and cash-flow) (Jorion)
Nicole Seaman
Dec 27, 2017
2
3
Replies
45
Views
2K
Apr 7, 2024
PCaya3281
P
P2.T5.714. When is VaR mapping useful? (Jorion, Ch 11)
Nicole Seaman
Dec 20, 2017
Replies
15
Views
741
Aug 12, 2024
Clay Carter
P2.T5.713. Backtesting in the Basel rules (Jorion Ch.6)
Nicole Seaman
Dec 13, 2017
2
Replies
24
Views
901
Jun 9, 2023
Shau_2207
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