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FRM® Practice Questions (PQs; for PAID customers)
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P2.T5. Market Risk
Practice questions for Market Risk Measurement & Management
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P2.T5.411. Implied volatility surface (Hull)
Nicole Seaman
Feb 27, 2014
2
3
Replies
50
Views
2K
Friday at 10:06 PM
MLee7405
M
L2.T5.54 Mortgage prepayment variables (Tuckman)
David Harper CFA FRM
Aug 20, 2010
Replies
8
Views
269
Mar 21, 2024
Clay Carter
P2.T5.22.11 Correlation Basics
Nicole Seaman
Nov 16, 2022
Replies
7
Views
163
Mar 14, 2024
TNguy5388
T
P2.T5.413. Exotic options: barrier, binary, and lookback (Hull)
Nicole Seaman
Mar 6, 2014
2
Replies
31
Views
701
Mar 14, 2024
gsarm1987
L2.T5.14 Chooser options (Hull)
David Harper CFA FRM
Jun 29, 2010
Replies
7
Views
161
Mar 14, 2024
SKuma2148
S
P2.T5.414. Exotic options: shout, Asian, and exchange (Hull)
Nicole Seaman
Mar 11, 2014
Replies
12
Views
449
Feb 27, 2024
Ethan.kh
E
P2.T5.505. Copula functions (Meissner)
David Harper CFA FRM
Jan 20, 2015
2
Replies
32
Views
2K
Feb 20, 2024
Nicole Seaman
P2.T5.707. Historical simulation and lognormal value at risk (VaR) (Dowd)
Nicole Seaman
Oct 10, 2017
2
Replies
30
Views
2K
Feb 20, 2024
Nicole Seaman
P2.T5.22.7 Value at risk (VaR) backtest
Nicole Seaman
Mar 30, 2022
Replies
15
Views
310
Feb 17, 2024
gsarm1987
L2.T5.63 Fixed income mapping (Jorion)
David Harper CFA FRM
Sep 2, 2010
2
3
4
Replies
61
Views
4K
Jan 22, 2024
David Harper CFA FRM
P2.T5.22.10. Value at risk (VaR) mapping
Nicole Seaman
Nov 2, 2022
Replies
6
Views
153
Jan 21, 2024
gsarm1987
L2.T5.89 EVT GEV versus POT (Dowd)
David Harper CFA FRM
Oct 12, 2010
Replies
14
Views
442
Dec 17, 2023
DHose6131
D
L2.T5.70 Expected shortfall (Dowd)
David Harper CFA FRM
Sep 13, 2010
2
3
4
Replies
75
Views
4K
Dec 9, 2023
David Harper CFA FRM
P2.T5.22.2 Coherent measures and their standard errors
Nicole Seaman
Feb 16, 2022
Replies
9
Views
218
Dec 8, 2023
David Harper CFA FRM
L2.T5.04 Equity volatility (Hull)
David Harper CFA FRM
Jun 14, 2010
Replies
8
Views
291
Oct 28, 2023
gsarm1987
P2.T5.23.2. Multi-period interest rate trees
David Harper CFA FRM
Feb 22, 2023
Replies
8
Views
213
Oct 22, 2023
yLam4028
Y
P2.T5.22.4. Semi-parametric historical simulation value at risk (HS VaR)
Nicole Seaman
Mar 2, 2022
Replies
13
Views
261
Oct 1, 2023
gsarm1987
Quiz - T5
P2.T5.703. VaR backtest and VaR mapping
Nicole Seaman
Jun 22, 2017
2
3
Replies
42
Views
1K
Sep 6, 2023
gsarm1987
L2.T5.71 Coherent risk measures (Dowd)
David Harper CFA FRM
Sep 14, 2010
2
Replies
22
Views
708
Aug 25, 2023
gsarm1987
P2.T5.410. Implied volatility smile and the implied asset distribution (Hull)
Nicole Seaman
Feb 25, 2014
2
3
Replies
55
Views
3K
Aug 7, 2023
Sixcarbs
L2.T5.45 Multi-period interest rate tree (Tuckman)
David Harper CFA FRM
Aug 9, 2010
2
Replies
30
Views
1K
Jul 16, 2023
PProd3209
P
P2.T5.712. Backtesting value at risk (VaR) exceptions (Jorion Ch.6)
Nicole Seaman
Nov 8, 2017
2
3
4
Replies
62
Views
3K
Jul 8, 2023
DRade5174
D
L2.T5.67 Mapping options (Jorion)
David Harper CFA FRM
Sep 8, 2010
2
Replies
34
Views
1K
Jul 3, 2023
ILyap8363
I
P2.T5.503. Empirical Properties of Correlation (Meissner)
Nicole Seaman
Jan 13, 2015
Replies
14
Views
831
Jun 11, 2023
Shau_2207
P2.T5.713. Backtesting in the Basel rules (Jorion Ch.6)
Nicole Seaman
Dec 13, 2017
2
Replies
24
Views
862
Jun 9, 2023
Shau_2207
P2.T5.716. Value at risk (VaR) mapping for stress testing and performance benchmarking (Jorion)
Nicole Seaman
Jan 3, 2018
2
3
Replies
41
Views
1K
Jun 4, 2023
Shau_2207
P2.T5.708. Expected shortfall (Dowd Chapter 3)
Nicole Seaman
Oct 12, 2017
2
3
Replies
42
Views
2K
May 30, 2023
David Harper CFA FRM
P2.T5.22.3 Historical simulation approaches to value at risk (VaR) and expected shortfall (ES)
Nicole Seaman
Feb 23, 2022
Replies
13
Views
202
May 29, 2023
David Harper CFA FRM
P2.T5.23.4 Vasicek term structure model
Nicole Seaman
Mar 8, 2023
Replies
4
Views
71
May 25, 2023
enjofaes
Quiz - T5
P2.T5.704. Cardinal and ordinal (rank) correlation measures
Nicole Seaman
Jul 11, 2017
2
Replies
22
Views
667
May 24, 2023
enjofaes
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