FRM
FRM Part I
FRM Part II
My Courses
Partnerships
Corporate Partnerships
University Partnerships
Resources
Overview
FAQ
Blog
Newsletters
In The News
Video
Home
Forums
New posts
Search forums
What's new
New posts
New profile posts
Latest activity
Members
Current visitors
New profile posts
Search profile posts
Log in
What's new
Search
Search
Everywhere
Threads
This forum
Search titles only
By:
New posts
Search forums
Menu
Log in
Navigation
Install the app
Install
More options
Contact us
Close Menu
Forums
FRM® Practice Questions (for PAID customers)
JavaScript is disabled. For a better experience, please enable JavaScript in your browser before proceeding.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an
alternative browser
.
P2.T5. Market Risk
Practice questions for Market Risk Measurement & Management
Prev
1
2
3
4
…
Go to page
Go
12
Next
First
Prev
2 of 12
Go to page
Go
Next
Last
Filters
Show only:
Loading…
P2.T5.22.2 Coherent measures and their standard errors
Nicole Seaman
Feb 16, 2022
Replies
9
Views
267
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
24
Views
954
Jan 21, 2025
Clay Carter
A
DV01 definition clarification needed (extreme mental emergency)
alexwallace
Apr 1, 2021
Replies
2
Views
37
Apr 3, 2021
alexwallace
A
P2.T5.717. Value at risk (VaR) mapping (Jorion Ch.11)
Nicole Seaman
Jan 10, 2018
Replies
10
Views
882
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
18
Views
780
Apr 29, 2025
SSlut9677
S
P2.T5.713. Backtesting in the Basel rules (Jorion Ch.6)
Nicole Seaman
Dec 13, 2017
2
Replies
24
Views
939
Jun 9, 2023
Shau_2207
P2.T5.712. Backtesting value at risk (VaR) exceptions (Jorion Ch.6)
Nicole Seaman
Nov 8, 2017
2
3
4
Replies
65
Views
3K
Apr 28, 2024
RTeja8955
R
P2.T5.711. Age-, volatility-, correlation-weighted and filtered historical simulation (HS) approaches
Nicole Seaman
Nov 1, 2017
2
Replies
33
Views
2K
May 1, 2023
enjofaes
P2.T5.710. Bootstrap historical simulation and non-parametric density estimation (Dowd, Ch.4)
Nicole Seaman
Oct 25, 2017
2
Replies
21
Views
934
Jun 16, 2024
gsarm1987
P2.T5.709. Coherent risk measures (Dowd, Ch.3)
Nicole Seaman
Oct 18, 2017
2
Replies
21
Views
1K
Feb 12, 2023
David Harper CFA FRM
P2.T5.708. Expected shortfall (Dowd Chapter 3)
Nicole Seaman
Oct 12, 2017
2
3
Replies
44
Views
2K
Feb 10, 2025
Clay Carter
P2.T5.707. Historical simulation and lognormal value at risk (VaR) (Dowd)
Nicole Seaman
Oct 10, 2017
2
3
Replies
42
Views
2K
Feb 10, 2025
Clay Carter
Quiz - T5
P2.T5.706. Risk-free rate in derivatives valuation and volatility smiles (Hull Chapters 9 and 10)
Nicole Seaman
Jul 18, 2017
Replies
15
Views
685
Apr 18, 2024
David Harper CFA FRM
Quiz - T5
P2.T5.705. Tuckman's term structure models
Nicole Seaman
Jul 13, 2017
Replies
10
Views
291
Sep 2, 2019
David Harper CFA FRM
Quiz - T5
P2.T5.704. Cardinal and ordinal (rank) correlation measures
Nicole Seaman
Jul 11, 2017
2
Replies
22
Views
677
May 24, 2023
enjofaes
Quiz - T5
P2.T5.703. VaR backtest and VaR mapping
Nicole Seaman
Jun 22, 2017
2
3
Replies
42
Views
1K
Sep 6, 2023
gsarm1987
Quiz - T5
P2.T5.702. Nonparametric value at risk (VaR)
Nicole Seaman
Jun 20, 2017
Replies
14
Views
501
Mar 19, 2021
thanhtam92
T
Quiz - T5
P2.T5.701.1. Value at risk (VaR) and expected shortfall (ES)
Nicole Seaman
Jun 15, 2017
Replies
6
Views
508
Nov 18, 2022
gsarm1987
Quiz - T5
P2.T5.700 Value at risk (VaR) basics
Nicole Seaman
Jun 13, 2017
2
Replies
33
Views
891
Apr 29, 2024
aalirahman
A
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
606
Nov 7, 2021
David Harper CFA FRM
P2.T5.506. Risk-free rate versus LIBOR and the overnight indexed swap (OIS) rate (Hull)
Nicole Seaman
Jan 22, 2015
2
Replies
22
Views
1K
May 15, 2019
David Harper CFA FRM
P2.T5.505. Copula functions (Meissner)
David Harper CFA FRM
Jan 20, 2015
2
Replies
29
Views
2K
Jan 15, 2022
David Harper CFA FRM
P2.T5.504. Rank correlations: Spearman's and Kendall's (Meissner)
Nicole Seaman
Jan 15, 2015
2
Replies
28
Views
1K
Oct 12, 2020
David Harper CFA FRM
P2.T5.503. Empirical Properties of Correlation (Meissner)
Nicole Seaman
Jan 13, 2015
Replies
14
Views
878
Jun 11, 2023
Shau_2207
P2.T5.502. Correlation in risk management (Meissner Chapter 1)
Nicole Seaman
Jan 8, 2015
2
3
Replies
41
Views
2K
Jun 24, 2024
Clay Carter
P2.T5.501. Correlation, basic review (Meissner Chapter 1)
Nicole Seaman
Jan 6, 2015
2
Replies
33
Views
2K
Feb 27, 2025
Santoshsty
S
P2.T5.414. Exotic options: shout, Asian, and exchange (Hull)
Nicole Seaman
Mar 11, 2014
Replies
12
Views
480
Feb 27, 2024
Ethan.kh
E
P2.T5.413. Exotic options: barrier, binary, and lookback (Hull)
Nicole Seaman
Mar 6, 2014
2
Replies
31
Views
752
Mar 14, 2024
gsarm1987
Prev
1
2
3
4
…
Go to page
Go
12
Next
First
Prev
2 of 12
Go to page
Go
Next
Last
You must log in or register to post here.
Forums
FRM® Practice Questions (for PAID customers)
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.
Accept
Learn more…
Top
