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8002 – PRM Certification - Exam II: Mathematical Foundations of Risk Measurement

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Showing 7–9 of 10 questions

Question 7

A linear regression gives the following output:

Figures in square brackets are estimated standard errors of the coefficient estimates. What is the value of the test statistic for the hypothesis that the coefficient of is zero against the alternative that is less than zero?

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  • ○

    0.125
  • ○

    2.5
  • ○

    -1.25
  • ○

    -2.5
Question 8

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European put option has a strike of 105 and a maturity of 90 days. Its Black-Scholes price is 7.11. The options sensitivities are: delta = -0.59; gamma = 0.03; vega = 19.29. Find the delta-gamma approximation to the new option price when the underlying asset price changes to 105

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  • ○

    6.49
  • ○

    5.03
  • ○

    4.59
  • ○

    4.54
Question 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?

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  • ○

    $9420
  • ○

    $7350
  • ○

    $7230
  • ○

    $7100