8007無料問題集「PRMIA Exam II: Mathematical Foundations of Risk Measurement

質問 1

A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Modified Duration of the bond?

（A）1.75

（B）1.86

（C）2

（D）1.95

正解：B 解答を投票する

質問 2

Which of the following is consistent with the definition of a Type I error?

（A）A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of no correlation was rejected

（B）The probability of a Type I error is 100% minus the significance level

（C）A Type I occurs whenever data series are serially correlated

（D）A Type I error would have occurred if the performance of a stock was positively correlated with the performance of a hedge fund, but in a linear regression, the hypothesis of positive correlation was rejected

正解：D 解答を投票する

質問 3

Which of the provided answers solves this system of equations?
2y - 3x = 3y +x
y2 + x2 = 68

（A）x = 2; y = 8

（B）x = 1; y = square root of 67

（C）x = 2; y = -8

（D）x = -2; y = -8

正解：C 解答を投票する

質問 4

A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Macaulay Duration of the bond?

（A）1.75

（B）1.86

（C）2

（D）1.95

正解：D 解答を投票する

質問 5

Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

（A）Using an inappropriate functional form in the model

（B）A high positive correlation between two explanatory variables

（C）A structural break in the dependent variable

（D）The omission of a relevant explanatory variable

正解：B 解答を投票する

質問 6

The natural logarithm of x is:

（A）46

（B）the inverse function of exp(x)

（C）log(e)

（D）always greater than x, for x>0

正解：B 解答を投票する

質問 7

Consider two functions f(x) and g(x) with indefinite integrals F(x) and G(x), respectively. The indefinite integral of the product f(x)g(x) is given by

（A）F(x)g(x) - F(x)g'(x)dx

（B）F(x)G(x)

（C）f(x)G(x) - F(x)g'(x)dx

（D）F(x)g(x) + f(x)G(x)

正解：A 解答を投票する

質問 8

What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?

（A）(x + y) / (x+y)

（B）1 / (x+y)

（C）-x/(x+y) - y/(x+y)

（D）ln(x+y) x + ln(x+y) y

正解：A 解答を投票する

質問 9

You invest $100 000 for 3 years at a continuously compounded rate of 3%. At the end of 3 years, you redeem the investment. Taxes of 22% are applied at the time of redemption. What is your approximate after-tax profit from the investment, rounded to $10?

（A）$7100

（B）$7230

（C）$9420

（D）$7350

正解：D 解答を投票する

質問 10

The gradient of a function f(x, y, z) = x + y2 - x y z at the point x = y = z = 1 is

（A）(0, 0, 0)

（B）(1, 1, 1)

（C）(0, 2, 1)

（D）(0, 1, -1)

正解：D 解答を投票する

8007 無料問題集「PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition」

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