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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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L2.T5.82 Correlation as dependence (Dowd)
David Harper CFA FRM
Sep 29, 2010
Replies
7
Views
217
Mar 16, 2021
David Harper CFA FRM
L2.T5.81 Non parametric estimation methods (Dowd)
David Harper CFA FRM
Sep 28, 2010
Replies
16
Views
336
Sep 28, 2021
abhinavkhanna
A
L2.T5.80 Filtered historical simulation (Dowd)
David Harper CFA FRM
Sep 27, 2010
2
Replies
20
Views
835
Nov 10, 2020
abhinavkhanna
A
L2.T5.79 Correlation-weighted historical simulation (Dowd)
David Harper CFA FRM
Sep 23, 2010
Replies
14
Views
695
Dec 6, 2022
gsarm1987
L2.T5.78 Volatility-weighted historical simulation (Dowd)
David Harper CFA FRM
Sep 23, 2010
Replies
2
Views
396
Jul 16, 2016
David Harper CFA FRM
L2.T5.77 Age-weighted historical simulation (Dowd)
David Harper CFA FRM
Sep 22, 2010
2
3
Replies
50
Views
2K
Apr 1, 2023
David Harper CFA FRM
L2.T5.76 Non-parametric density estimation (Dowd)
David Harper CFA FRM
Sep 21, 2010
Replies
12
Views
601
Aug 12, 2021
David Harper CFA FRM
L2.T5.75 Bootstrapped historical simulation (Dowd)
David Harper CFA FRM
Sep 19, 2010
Replies
8
Views
381
Mar 22, 2019
David Harper CFA FRM
L2.T5.74 QQ Plot (Dowd)
David Harper CFA FRM
Sep 17, 2010
Replies
5
Views
647
Jan 11, 2019
gprisby
L2.T5.73 Estimators standard errors of coherent risk measures (Dowd)
David Harper CFA FRM
Sep 16, 2010
Replies
11
Views
636
Feb 21, 2021
David Harper CFA FRM
L2.T5.72 Estimating coherent risk measures (Dowd)
David Harper CFA FRM
Sep 15, 2010
2
Replies
34
Views
1K
Feb 11, 2023
David Harper CFA FRM
L2.T5.71 Coherent risk measures (Dowd)
David Harper CFA FRM
Sep 14, 2010
2
Replies
22
Views
750
Aug 25, 2023
gsarm1987
L2.T5.70 Expected shortfall (Dowd)
David Harper CFA FRM
Sep 13, 2010
2
3
4
Replies
75
Views
4K
Dec 9, 2023
David Harper CFA FRM
L2.T5.69 Parametric value at risk (VaR) (Dowd)
David Harper CFA FRM
Sep 9, 2010
2
Replies
33
Views
1K
Dec 26, 2019
David Harper CFA FRM
L2.T5.68 Historical simulation value at risk (HS VaR) (Dowd)
David Harper CFA FRM
Sep 9, 2010
2
Replies
24
Views
1K
Apr 18, 2024
David Harper CFA FRM
L2.T5.67 Mapping options (Jorion)
David Harper CFA FRM
Sep 8, 2010
2
Replies
34
Views
1K
Jul 3, 2023
ILyap8363
I
L2.T5.66 Mapping forwards and IRS (Jorion)
David Harper CFA FRM
Sep 7, 2010
2
Replies
21
Views
568
Jul 24, 2022
David Harper CFA FRM
L2.T5.65 Tracking error value at risk (tracking error VaR) (Jorion)
David Harper CFA FRM
Sep 7, 2010
2
Replies
21
Views
1K
Jun 21, 2024
wookan06
W
L2.T5.64 VaR map stress test (Jorion)
David Harper CFA FRM
Sep 3, 2010
2
Replies
29
Views
1K
Aug 22, 2024
AUola2165
A
L2.T5.63 Fixed income mapping (Jorion)
David Harper CFA FRM
Sep 2, 2010
2
3
4
Replies
61
Views
4K
Jan 22, 2024
David Harper CFA FRM
L2.T5.62 Mapping general/specific risk (Jorion)
David Harper CFA FRM
Sep 1, 2010
Replies
10
Views
632
Jun 10, 2020
abhinavkhanna
A
L2.T5.61 Value at Risk (VaR) Mapping (Jorion)
David Harper CFA FRM
Aug 31, 2010
Replies
11
Views
607
Apr 18, 2023
David Harper CFA FRM
L2.T5.60 Basel IMA backtest (Jorion)
David Harper CFA FRM
Aug 30, 2010
2
3
4
Replies
68
Views
3K
Jul 16, 2022
Jackk90
J
L2.T5.59 Backtest framework (Jorion)
David Harper CFA FRM
Aug 27, 2010
Replies
18
Views
597
May 15, 2023
Shah59611
S
L1.T5.58 Value at risk (VaR) backtest significance (Jorion)
David Harper CFA FRM
Aug 26, 2010
2
3
Replies
47
Views
1K
Nov 23, 2021
annaleevance2000
L2.T5.57 Value at risk (VaR) backtest (Jorion)
David Harper CFA FRM
Aug 25, 2010
2
3
Replies
47
Views
2K
Apr 21, 2024
mbbx5va2
M
L2.T5.56 CMO, PAC, IO, & PO (Tuckman)
David Harper CFA FRM
Aug 24, 2010
Replies
16
Views
275
Feb 26, 2023
YCHEN7458
Y
L2.T5.55 Monte Carlo for path dependent MBS (Tuckman)
David Harper CFA FRM
Aug 23, 2010
Replies
7
Views
178
Mar 23, 2023
PTadi9660
P
L2.T5.54 Mortgage prepayment variables (Tuckman)
David Harper CFA FRM
Aug 20, 2010
Replies
8
Views
304
Mar 21, 2024
Clay Carter
L2.T5.53 Static cash flow, implied versus prepayment MBS models (Tuckman)
David Harper CFA FRM
Aug 19, 2010
Replies
0
Views
89
Aug 19, 2010
David Harper CFA FRM
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