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Free FRM Quantitative Analysis Practice Questions & Answers

400 exam-style Quantitative Analysis questions. Pick your answer, hit Check answer, and see the worked solution — free to start, no signup.

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Question 301

The price of a bond paying annual coupons C, face value F, maturity n, yield y is:

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Question 302

The reinvestment risk of a coupon bond refers to:

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Question 303

A bond with positive convexity will:

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Question 304

A bond portfolio manager with a view that the yield curve will steepen (short rates fall, long rates rise) would:

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Question 305

Dollar duration (DV01) of a fixed-rate bond paying 6% annual coupon, face value $1,000, modified duration 5, current price $1,050 is:

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Question 306

The duration of a bond portfolio is:

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Question 307

A duration-neutral trade that benefits from a flattening yield curve (long rates fall more than short rates) is:

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Question 308

The effective convexity of a mortgage-backed security is typically:

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Question 309

A bond with negative convexity:

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Question 310

To hedge a $100M bond portfolio with duration 6 against parallel yield shifts using Treasury futures (DV01 per contract = $85):

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Question 311

Duration of an interest rate swap (pay fixed, receive floating) is approximately:

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Question 312

Key rate duration analysis is preferred over effective duration for:

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Question 313

The net present value (NPV) of a swap at inception should be:

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Question 314

In a swap rate curve, the spread between the swap rate and the corresponding government bond yield (the swap spread) reflects:

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Question 315

The Fisher equation relates nominal interest rates to real rates and inflation as:

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Question 316

The Nelson-Siegel model parametrises the yield curve as:

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Question 317

The ISDA Standard Initial Margin Model (SIMM) calculates initial margin for non-cleared OTC derivatives by:

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Question 318

The relationship between the real yield curve and nominal yield curve is captured by the:

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Question 319

Parametric VaR assumes:

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Question 320

Rho of an option measures:

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Question 321

A stop-loss order is:

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Question 322

The Sharpe ratio measures:

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Question 323

The Sharpe ratio of a portfolio measures:

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Question 324

The loss distribution approach (LDA) to operational risk VaR:

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Question 325

Scenario analysis in risk management involves:

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Question 326

The risk of a portfolio decreasing when two uncorrelated assets are combined demonstrates:

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Question 327

The maximum loss a portfolio can sustain regardless of market movements is theoretically:

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Question 328

Delta of a long position in the underlying asset is:

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Question 329

Beta (systematic risk) is calculated as:

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Question 330

A long position in a stock has positive delta because:

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Free FRM Quantitative Analysis Practice Questions & Answers

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