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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.T5.25.8 Estimating and Analyzing Interest Rate Factors in the Gauss+ Model
Derrick.Roslanic
Mar 19, 2025
Replies
2
Views
53
Apr 6, 2025
Clay Carter
P2.T5.25.7 Gauss+ vs. Vasicek: Interest Rate Modeling and Dynamics
Derrick.Roslanic
Mar 18, 2025
Replies
0
Views
34
Mar 18, 2025
Derrick.Roslanic
P2.T5.25.6 Challenges in Benchmarking and Confidence Intervals for VaR Model Validation
Derrick.Roslanic
Mar 18, 2025
Replies
2
Views
44
Apr 4, 2025
Clay Carter
P2.T5.25.5 Conceptual Soundness and Sensitivity Analysis in VaR Models
Derrick.Roslanic
Mar 18, 2025
Replies
0
Views
21
Mar 18, 2025
Derrick.Roslanic
P2.T5.25.4 Backtesting VaR Models with PITs (Kolmogorov-Smirnov, Anderson-Darling, Cramér-von Mises)
Derrick.Roslanic
Mar 13, 2025
Replies
0
Views
18
Mar 13, 2025
Derrick.Roslanic
P2.T5.25.3 Testing VaR Models Using Exceedance Backtests and PIT Distribution Analysis
Derrick.Roslanic
Mar 13, 2025
Replies
2
Views
45
Friday at 3:05 PM
Clay Carter
P2.T5.25.2 Risk-Averse Investors
Derrick.Roslanic
Mar 12, 2025
Replies
0
Views
29
Mar 12, 2025
Derrick.Roslanic
P2.T5.25.1 Reverse Regressions
Nicole Seaman
Feb 28, 2025
Replies
0
Views
58
Feb 28, 2025
Nicole Seaman
P2.T5.24.1 Correlation in derivatives and managing market risk of multi-asset portfolios
Nicole Seaman
Sep 5, 2024
Replies
12
Views
164
Mar 10, 2025
Clay Carter
P2.T5.23.8 Fundamental Review of the Trading Book (FRTB)
Nicole Seaman
Apr 5, 2023
Replies
8
Views
395
May 11, 2025
Sihle
S
P2.T5.23.7 More Volatility Smiles
Nicole Seaman
Mar 29, 2023
Replies
15
Views
343
May 12, 2025
Clay Carter
P2.T5.23.6. Implied volatility
Nicole Seaman
Mar 22, 2023
Replies
0
Views
45
Mar 22, 2023
Nicole Seaman
P2.T5.23.5 Cox-Ingersoll-Ross (CIR) model
David Harper CFA FRM
Mar 16, 2023
Replies
4
Views
270
Jan 27, 2025
Nicole Seaman
P2.T5.23.4 Vasicek term structure model
Nicole Seaman
Mar 8, 2023
Replies
9
Views
300
Nov 12, 2024
gsarm1987
P2.T5.23.3. Evolution of short rates and shape of the term structure
Nicole Seaman
Mar 1, 2023
Replies
6
Views
376
Feb 1, 2025
MarkusAuer92
M
P2.T5.23.2. Multi-period interest rate trees
David Harper CFA FRM
Feb 22, 2023
Replies
14
Views
488
Apr 8, 2025
Nicole Seaman
P2.T5.23.1. Risk-neutral interest rate term structure
Nicole Seaman
Feb 15, 2023
2
Replies
26
Views
633
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
263
Apr 29, 2025
Clay Carter
P2.T5.22.14. Empirical approaches to fixed income hedging
David Harper CFA FRM
Dec 7, 2022
Replies
2
Views
265
May 1, 2023
David Harper CFA FRM
P2.T5.22.13. Copula functions for financial dependence
Nicole Seaman
Nov 30, 2022
Replies
2
Views
199
Apr 25, 2023
David Harper CFA FRM
P2.T5.22.12. Correlation Properties
David Harper CFA FRM
Nov 23, 2022
Replies
5
Views
223
Oct 22, 2024
gsarm1987
P2.T5.22.11 Correlation Basics
Nicole Seaman
Nov 16, 2022
Replies
7
Views
319
Mar 14, 2024
TNguy5388
T
P2.T5.22.10. Value at risk (VaR) mapping
Nicole Seaman
Nov 2, 2022
Replies
8
Views
235
Apr 21, 2025
Clay Carter
P2.T5.22.9. VaR Mapping
Nicole Seaman
Oct 26, 2022
Replies
6
Views
472
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
519
Jun 25, 2024
TEkaz8632
T
P2.T5.22.7 Value at risk (VaR) backtest
Nicole Seaman
Mar 30, 2022
2
Replies
21
Views
509
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
373
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
329
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
399
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
333
May 29, 2023
David Harper CFA FRM
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