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FRM® Practice Questions (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
79
Oct 7, 2024
gsarm1987
P2.T5.23.8 Fundamental Review of the Trading Book (FRTB)
Nicole Seaman
Apr 5, 2023
Replies
4
Views
312
Nov 12, 2024
xcobbyz
X
P2.T5.23.7 More Volatility Smiles
Nicole Seaman
Mar 29, 2023
Replies
10
Views
266
Nov 4, 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
208
Sep 27, 2024
Clay Carter
P2.T5.23.4 Vasicek term structure model
Nicole Seaman
Mar 8, 2023
Replies
9
Views
237
Nov 12, 2024
gsarm1987
P2.T5.23.3. Evolution of short rates and shape of the term structure
Nicole Seaman
Mar 1, 2023
Replies
5
Views
317
Oct 29, 2024
GLope5462
G
P2.T5.23.2. Multi-period interest rate trees
David Harper CFA FRM
Feb 22, 2023
Replies
11
Views
405
Sep 3, 2024
Nicole Seaman
P2.T5.23.1. Risk-neutral interest rate term structure
Nicole Seaman
Feb 15, 2023
2
Replies
26
Views
559
Nov 4, 2024
HKim1365
H
P2.T5.22.15. Fixed income regression and principal component analysis (PCA)
Nicole Seaman
Jan 18, 2023
Replies
6
Views
213
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
221
May 1, 2023
David Harper CFA FRM
P2.T5.22.13. Copula functions for financial dependence
Nicole Seaman
Nov 30, 2022
Replies
2
Views
156
Apr 25, 2023
David Harper CFA FRM
P2.T5.22.12. Correlation Properties
David Harper CFA FRM
Nov 23, 2022
Replies
5
Views
180
Oct 22, 2024
gsarm1987
P2.T5.22.11 Correlation Basics
Nicole Seaman
Nov 16, 2022
Replies
7
Views
274
Mar 14, 2024
TNguy5388
T
P2.T5.22.10. Value at risk (VaR) mapping
Nicole Seaman
Nov 2, 2022
Replies
6
Views
203
Jan 21, 2024
gsarm1987
P2.T5.22.9. VaR Mapping
Nicole Seaman
Oct 26, 2022
Replies
6
Views
411
Nov 11, 2022
gsarm1987
P2.T5.22.8. Value at risk (VaR) backtest power and additional approaches
David Harper CFA FRM
Apr 20, 2022
Replies
13
Views
450
Jun 25, 2024
TEkaz8632
T
P2.T5.22.7 Value at risk (VaR) backtest
Nicole Seaman
Mar 30, 2022
2
Replies
21
Views
441
Oct 22, 2024
Clay Carter
P2.T5.22.6. Blocks (BM) approach to extreme value theory (EVT)
Nicole Seaman
Mar 23, 2022
Replies
6
Views
320
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
283
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
341
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
300
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
247
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
856
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
866
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
50
Views
2K
Nov 9, 2024
Nicole Seaman
P2.T5.714. When is VaR mapping useful? (Jorion, Ch 11)
Nicole Seaman
Dec 20, 2017
Replies
15
Views
749
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
911
Jun 9, 2023
Shau_2207
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