Cross-sectional and time series observations — multiple entities (firms, countries) observed over multiple periods — allowing control for unobservable entity-specific effects through fixed or random effects models

Only cross-sectional observations at one point in time

Simulated data with actual data

The risk that a borrower or counterparty fails to meet its contractual obligations

The risk of losses from market price movements

The risk from operational failures

The risk of liquidity shortfalls

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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 61

Extreme Value Theory shows that the tail of many distributions converges to:

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Question 62

In a simple linear regression Y = α + βX + ε, the coefficient β represents:

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Question 63

R-squared in a regression model measures:

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Question 64

Heteroskedasticity in a regression model means:

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Question 65

A stationary time series has:

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Question 66

Autocorrelation in a time series means:

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Question 67

The F-statistic in a multiple regression tests:

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Question 68

In time series analysis, a seasonal component:

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Question 69

OLS regression minimises:

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Question 70

In a multiple regression, multicollinearity causes:

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Question 71

An AR(1) model X_t = φX_{t-1} + ε_t is stationary when:

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Question 72

The Durbin-Watson test statistic close to 2 indicates:

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Question 73

GARCH(1,1) models volatility as:

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Question 74

In a financial time series regression, heteroskedasticity-consistent (White) standard errors are used to:

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Question 75

The Augmented Dickey-Fuller (ADF) test tests the null hypothesis that:

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Question 76

A vector autoregression (VAR) model extends the AR model to:

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Question 77

Panel data combines:

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Question 78

In a regression with autocorrelated errors, OLS estimators are:

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Question 79

An ARMA(p,q) model combines:

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Question 80

Granger causality tests whether:

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Question 81

Cointegration between two non-stationary time series X and Y means:

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Question 82

Market risk is best defined as:

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Question 83

Credit risk is:

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Question 84

Operational risk is defined as:

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Question 85

Liquidity risk comprises:

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Question 86

The risk appetite of an organisation is best described as:

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Question 87

Value at Risk (VaR) at the 99% confidence level over a one-day horizon means:

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Question 88

Expected Shortfall (ES) differs from VaR because:

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Question 89

Systemic risk refers to:

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Question 90

The risk of model error — using incorrect assumptions in a pricing or risk model — is called:

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Free FRM Quantitative Analysis Practice Questions & Answers

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