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Free 8002 – PRM Certification - Exam II: Mathematical Foundations of Risk Measurement Practice Test Question

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Showing 1–3 of 10 questions

Question 1

Let X be a random variable normally distributed with zero mean and let . Then the correlation between X and Y is:

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    negative
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    zero
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    not defined
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    positive
Question 2

Consider a binomial lattice where a security price S moves up by a factor u with probability p, or down by a factor d with probability 1 - p. If we set d > 1/u then which of the following will be TRUE?

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    The lattice will not recombine
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    The probability of an up move will not be constant
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    There will always be a downward drift in the lattice
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    None of the above
Question 3

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

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    1 / (x+y)
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    (∆x + ∆y) / (x+y)
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    -∆x/(x+y) - ∆y/(x+y)
  • ○

    ln(x+y) ∆x + ln(x+y) ∆y