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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 241

Duration of a perpetuity (consol bond paying C per period at yield y) equals:

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Question 242

In the US fixed income market, the benchmark interest rate has shifted from LIBOR to:

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Question 243

A floating rate note (FRN) with a spread of 50 bps over SOFR has a duration of approximately:

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Question 244

The price of a bond at a premium will converge to:

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Question 245

A credit spread option gives the holder:

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Question 246

The dollar duration of a bond portfolio used for hedging calculations equals:

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Question 247

An increase in credit spread of a corporate bond while the risk-free rate is unchanged will:

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Question 248

The yield to worst (YTW) of a callable bond is:

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Question 249

Effective duration for bonds with embedded options differs from modified duration because:

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Question 250

The Z-spread on a bond is:

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Question 251

A barbell portfolio has:

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Question 252

The carry of a bond position represents:

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Question 253

Convexity bias in interest rate swap pricing arises because:

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Question 254

The risk-neutral dynamics of interest rates in the Vasicek model follow:

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Question 255

The principal component analysis (PCA) of yield curve changes shows that the first three principal components typically represent:

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Question 256

The swap spread (swap rate minus government bond yield) is affected by:

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Question 257

The Fama-Bliss model for the term structure extracts forward rates from Treasury prices and uses them to predict:

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Question 258

The Libor Market Model (LMM / BGM model) is used for:

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Question 259

Duration weighting in a portfolio swap involves:

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Question 260

Probability of default (PD) refers to:

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Question 261

Loss given default (LGD) is:

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Question 262

Exposure at default (EAD) is:

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Question 263

A credit default swap (CDS) is:

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Question 264

A credit rating downgrade of a bond issuer typically causes:

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Question 265

Expected Loss (EL) for a credit exposure is:

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Question 266

Recovery rate in credit risk modelling is:

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Question 267

A credit default swap provides the buyer with:

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Question 268

Loss Given Default (LGD) for a senior secured loan is typically:

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Question 269

A bond rated BB is classified as:

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Question 270

The Merton model for credit risk treats the firm's equity as:

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Free FRM Quantitative Analysis Practice Questions & Answers

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Before you go, can we ask you one thing?

Thank you