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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.T5.712. 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
37
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
898
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
42
Views
2K
May 30, 2023
David Harper CFA FRM
P2.T5.707. Historical simulation and lognormal value at risk (VaR) (Dowd)
Nicole Seaman
Oct 10, 2017
2
Replies
35
Views
2K
Nov 8, 2024
Azim Merchant
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
676
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
500
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
603
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
32
Views
2K
Feb 20, 2024
Nicole Seaman
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
857
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
30
Views
2K
Feb 28, 2023
gsarm1987
P2.T5.414. Exotic options: shout, Asian, and exchange (Hull)
Nicole Seaman
Mar 11, 2014
Replies
12
Views
473
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
741
Mar 14, 2024
gsarm1987
P2.T5.412. Exotic options: forward start, compound and chooser (Hull)
Nicole Seaman
Mar 4, 2014
Replies
15
Views
567
Nov 2, 2017
David Harper CFA FRM
P2.T5.411. Implied volatility surface (Hull)
Nicole Seaman
Feb 27, 2014
2
3
Replies
50
Views
2K
Mar 22, 2024
MLee7405
M
P2.T5.410. Implied volatility smile and the implied asset distribution (Hull)
Nicole Seaman
Feb 25, 2014
2
3
Replies
57
Views
3K
Jul 25, 2024
TEkaz8632
T
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.T5.408. Hull on overnight indexed swaps (OIS) and collateral rate adjustment
Nicole Seaman
Feb 18, 2014
Replies
7
Views
274
Apr 16, 2017
maylathant
M
P2.T5.407. Hull on overnight indexed swaps (OIS) versus LIBOR
David Harper CFA FRM
Feb 13, 2014
Replies
6
Views
255
May 10, 2017
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
1K
Nov 15, 2021
David Harper CFA FRM
P2.T5.405. Basel Committee on value at risk (VaR), expected shortfall (ES) and other risk measures
Nicole Seaman
Feb 6, 2014
Replies
12
Views
522
Jul 26, 2022
David Harper CFA FRM
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