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Free FRM Quantitative Analysis Practice Questions & Answers

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Question 331

The coherence property of a risk measure requires it to satisfy:

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Question 332

Conditional Value at Risk (CVaR) equals:

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Question 333

When backtesting a 99% one-day VaR model over 250 trading days, the Basel traffic light system classifies a model as 'red zone' when:

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Question 334

Volatility clustering refers to:

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Question 335

The Treynor ratio differs from the Sharpe ratio in that:

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Question 336

Under the parametric approach, the 1-day 99% VaR for a single asset with daily return volatility σ and zero mean is:

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Question 337

Principal Component Analysis (PCA) applied to yield curve movements identifies:

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Question 338

The increase in correlation between risky assets during market stress events is known as:

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Question 339

Which of the following is a coherent risk measure?

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Question 340

Specific risk in the standardised approach to market risk capital refers to:

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Question 341

In risk management, the difference between VaR and Stressed VaR is:

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Question 342

Tracking error of a portfolio relative to a benchmark is:

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Question 343

The Omega ratio, unlike the Sharpe ratio, is:

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Question 344

The information ratio can be improved by:

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Question 345

The Cornish-Fisher approximation adjusts VaR for non-normality by:

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Question 346

The Newey-West standard errors are used in time series regression to produce:

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Question 347

A portfolio consisting of a long bond and a long payer swaption has:

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Question 348

The Sortino ratio improves on the Sharpe ratio by:

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Question 349

Incremental VaR (IVaR) of a position measures:

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Question 350

The Calmar ratio measures:

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Question 351

A bank reports 99% daily VaR of $5M. Under Basel III's standardised approach for market risk (FRTB), the risk measure that replaces VaR is:

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Question 352

Incremental Risk Charge (IRC) in the FRTB framework captures:

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Question 353

The major limitation of historical simulation VaR compared to Monte Carlo simulation is:

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Question 354

Expected Shortfall (ES) at confidence level α is:

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Question 355

The stressed VaR (sVaR) requirement under Basel II.5 and Basel III:

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Question 356

Model risk in financial risk management arises from:

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Question 357

The square-root-of-time rule for VaR scaling assumes:

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Question 358

In risk-neutral pricing, expected returns on all assets equal the risk-free rate because:

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Question 359

The use of Expected Shortfall (ES) at 97.5% rather than VaR at 99% in FRTB (Basel IV) produces:

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Question 360

The dispersion of option payoffs that is not captured by delta-gamma approximation is called:

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Free FRM Quantitative Analysis Practice Questions & Answers

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