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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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Quiz - T5
P2.T5.700 Value at risk (VaR) basics
Nicole Seaman
Jun 13, 2017
2
Replies
29
Views
717
Yesterday at 12:12 PM
David Harper CFA FRM
P2.T5.501. Correlation, basic review (Meissner Chapter 1)
Nicole Seaman
Jan 6, 2015
2
Replies
28
Views
1K
Yesterday at 11:57 AM
David Harper CFA FRM
P2.T5.505. Copula functions (Meissner)
David Harper CFA FRM
Jan 20, 2015
2
Replies
33
Views
1K
Saturday at 3:58 PM
David Harper CFA FRM
L2.T5.57 Value at risk (VaR) backtest (Jorion)
David Harper CFA FRM
Aug 25, 2010
2
3
Replies
44
Views
1K
Dec 12, 2021
David Harper CFA FRM
P2.T5.712. Backtesting value at risk (VaR) exceptions (Jorion Ch.6)
Nicole Seaman
Nov 8, 2017
2
3
Replies
50
Views
2K
Dec 4, 2021
David Harper CFA FRM
P2.T5.709. Coherent risk measures (Dowd, Ch.3)
Nicole Seaman
Oct 18, 2017
Replies
18
Views
861
Dec 4, 2021
zer0
Z
P2.T5.306. Time-dependent interest rate volatility (Model 3) (Tuckman)
Fran
Feb 12, 2013
2
Replies
30
Views
772
Dec 2, 2021
wahahahaha
W
P2.T5.305. Vasicek Model for interest rates (Tuckman)
Fran
Feb 7, 2013
2
3
Replies
59
Views
3K
Nov 27, 2021
kchristo
K
P2.T5.716. Value at risk (VaR) mapping for stress testing and performance benchmarking (Jorion)
Nicole Seaman
Jan 3, 2018
2
Replies
33
Views
839
Nov 27, 2021
kchristo
K
L1.T5.58 Value at risk (VaR) backtest significance (Jorion)
David Harper CFA FRM
Aug 26, 2010
2
3
Replies
48
Views
1K
Nov 23, 2021
annaleevance2000
PQ-T5
P2.T5.200. Implied volatility (topic review)
Suzanne Evans
Jul 10, 2012
Replies
17
Views
625
Nov 20, 2021
David Harper CFA FRM
P2.T5.409. Implied volatility smile (Hull)
Nicole Seaman
Feb 20, 2014
2
Replies
38
Views
2K
Nov 15, 2021
David Harper CFA FRM
P2.T5.406. Basel on stress testing, unified risk measurement, and feedback loops (Messages)
Nicole Seaman
Feb 11, 2014
2
Replies
23
Views
847
Nov 15, 2021
David Harper CFA FRM
Quiz - T5
P2.T5.703. VaR backtest and VaR mapping
Nicole Seaman
Jun 22, 2017
2
Replies
26
Views
965
Nov 11, 2021
VishIyer01
V
P2.T5.710. Bootstrap historical simulation and non-parametric density estimation (Dowd, Ch.4)
Nicole Seaman
Oct 25, 2017
Replies
19
Views
497
Nov 10, 2021
David Harper CFA FRM
P2.T5.507. Credit and debit value (CVA and DVA) adjustments and the risk-free rate (Hull)
Nicole Seaman
Jan 27, 2015
Replies
10
Views
564
Nov 7, 2021
David Harper CFA FRM
P2.T5.503. Empirical Properties of Correlation (Meissner)
Nicole Seaman
Jan 13, 2015
Replies
19
Views
646
Nov 7, 2021
David Harper CFA FRM
P2.T5.715. Fixed-income portfolio mapping approaches (principal, duration, and cash-flow) (Jorion)
Nicole Seaman
Dec 27, 2017
2
3
Replies
42
Views
1K
Nov 6, 2021
David Harper CFA FRM
P2.T5.717. Value at risk (VaR) mapping (Jorion Ch.11)
Nicole Seaman
Jan 10, 2018
Replies
10
Views
462
Nov 6, 2021
David Harper CFA FRM
P2.T5.410. Implied volatility smile and the implied asset distribution (Hull)
Nicole Seaman
Feb 25, 2014
2
3
Replies
53
Views
2K
Nov 2, 2021
David Harper CFA FRM
P2.T5.411. Implied volatility surface (Hull)
Nicole Seaman
Feb 27, 2014
2
3
Replies
47
Views
2K
Nov 1, 2021
VishIyer01
V
P2.T5.711. Age-, volatility-, correlation-weighted and filtered historical simulation (HS) approaches
Nicole Seaman
Nov 1, 2017
2
Replies
36
Views
1K
Oct 31, 2021
alexwallace
A
L2.T5.42 Risk-neutral drift (Tuckman)
David Harper CFA FRM
Aug 4, 2010
2
Replies
26
Views
953
Oct 21, 2021
Hamam
H
L2.T5.08 Greeks and volatility smile (Hull)
David Harper CFA FRM
Jun 18, 2010
2
Replies
32
Views
602
Oct 12, 2021
patriciar
P
P2.T5.708. Expected shortfall (Dowd Chapter 3)
Nicole Seaman
Oct 12, 2017
2
Replies
35
Views
1K
Oct 5, 2021
kchristo
K
P2.T5.304. Ho-Lee and arbitrage-free interest rate models (Tuckman)
Suzanne Evans
Feb 5, 2013
2
Replies
20
Views
805
Oct 4, 2021
David Harper CFA FRM
L2.T5.81 Non parametric estimation methods (Dowd)
David Harper CFA FRM
Sep 28, 2010
Replies
16
Views
270
Sep 28, 2021
abhinavkhanna
A
P2.T5.502. Correlation in risk management (Meissner Chapter 1)
Nicole Seaman
Jan 8, 2015
2
Replies
36
Views
2K
Sep 1, 2021
David Harper CFA FRM
P2.T5.714. When is VaR mapping useful? (Jorion, Ch 11)
Nicole Seaman
Dec 20, 2017
Replies
12
Views
442
Aug 29, 2021
David Harper CFA FRM
L2.T5.41 Risk-neutral derivative pricing (Tuckman)
David Harper CFA FRM
Aug 3, 2010
2
3
Replies
52
Views
2K
Aug 22, 2021
lushukai
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