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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.T5.501. Correlation, basic review (Meissner Chapter 1)
Nicole Seaman
Jan 6, 2015
2
Replies
30
Views
1K
Feb 28, 2023
gsarm1987
L2.T5.56 CMO, PAC, IO, & PO (Tuckman)
David Harper CFA FRM
Aug 24, 2010
Replies
16
Views
243
Feb 26, 2023
YCHEN7458
Y
P2.T5.104. Identify, describe, and contrast different standard prepayment measures. (Veronesi)
Suzanne Evans
Jan 10, 2012
Replies
9
Views
293
Feb 26, 2023
David Harper CFA FRM
L2.T5.15 Barrier options (Hull)
David Harper CFA FRM
Jun 29, 2010
Replies
3
Views
194
Feb 18, 2023
YCHEN7458
Y
P2.T5.709. Coherent risk measures (Dowd, Ch.3)
Nicole Seaman
Oct 18, 2017
2
Replies
21
Views
1K
Feb 12, 2023
David Harper CFA FRM
L2.T5.72 Estimating coherent risk measures (Dowd)
David Harper CFA FRM
Sep 15, 2010
2
Replies
34
Views
1K
Feb 11, 2023
David Harper CFA FRM
L2.T5.68 Historical simulation value at risk (HS VaR) (Dowd)
David Harper CFA FRM
Sep 9, 2010
2
Replies
22
Views
1K
Feb 11, 2023
yLam4028
Y
L2.T5.42 Risk-neutral drift (Tuckman)
David Harper CFA FRM
Aug 4, 2010
2
Replies
28
Views
1K
Jan 14, 2023
Lu Shu Kai FRM
L2.T5.08 Greeks and volatility smile (Hull)
David Harper CFA FRM
Jun 18, 2010
2
Replies
33
Views
670
Jan 7, 2023
David Harper CFA FRM
P2.T5.306. Time-dependent interest rate volatility (Model 3) (Tuckman)
Fran
Feb 12, 2013
2
Replies
34
Views
944
Jan 5, 2023
gsarm1987
P2.T5.303. Simulations with short-term interest rate models (Tuckman)
Suzanne Evans
Jan 31, 2013
Replies
6
Views
570
Jan 2, 2023
David Harper CFA FRM
P2.T5.22.5. Peaks-over-threshold (POT) approach to extreme value theory (EVT)
David Harper CFA FRM
Mar 16, 2022
Replies
7
Views
178
Dec 20, 2022
Lu Shu Kai FRM
L2.T5.79 Correlation-weighted historical simulation (Dowd)
David Harper CFA FRM
Sep 23, 2010
Replies
14
Views
668
Dec 6, 2022
gsarm1987
Quiz - T5
P2.T5.701.1. Value at risk (VaR) and expected shortfall (ES)
Nicole Seaman
Jun 15, 2017
Replies
6
Views
500
Nov 18, 2022
gsarm1987
P2.T5.22.9. VaR Mapping
Nicole Seaman
Oct 26, 2022
Replies
6
Views
211
Nov 11, 2022
gsarm1987
L2.T5.43 Multi-period binomial interest rate tree (Tuckman)
David Harper CFA FRM
Aug 4, 2010
2
Replies
34
Views
2K
Aug 1, 2022
David Harper CFA FRM
L2.T5.40 Replicating callable bond (Tuckman)
David Harper CFA FRM
Aug 2, 2010
2
3
Replies
58
Views
4K
Aug 1, 2022
David Harper CFA FRM
P2.T5.405. Basel Committee on value at risk (VaR), expected shortfall (ES) and other risk measures
Nicole Seaman
Feb 6, 2014
Replies
12
Views
502
Jul 26, 2022
David Harper CFA FRM
L2.T5.66 Mapping forwards and IRS (Jorion)
David Harper CFA FRM
Sep 7, 2010
2
Replies
21
Views
531
Jul 24, 2022
David Harper CFA FRM
L2.T5.60 Basel IMA backtest (Jorion)
David Harper CFA FRM
Aug 30, 2010
2
3
4
Replies
68
Views
3K
Jul 16, 2022
Jackk90
J
L2.T5.16 Binary options (Hull)
David Harper CFA FRM
Jun 29, 2010
Replies
7
Views
244
Jun 15, 2022
David Harper CFA FRM
L2.T5.13. Compound options (Hull)
David Harper CFA FRM
Jun 25, 2010
Replies
11
Views
238
Jun 10, 2022
David Harper CFA FRM
PQ-T5
P2.T5.206. Fixed Income (III. MBS) (topic review)
Suzanne Evans
Jul 30, 2012
2
Replies
23
Views
636
May 16, 2022
bollengc
PQ-T5
P2.T5.209. Value at risk (I. Historical simulation) (topic review)
Suzanne Evans
Aug 8, 2012
Replies
10
Views
266
May 15, 2022
Torsleno
T
Quiz - T5
P2.T5.700 Value at risk (VaR) basics
Nicole Seaman
Jun 13, 2017
2
Replies
30
Views
862
Jan 23, 2022
bradnhopkins
B
L2.T5.57 Value at risk (VaR) backtest (Jorion)
David Harper CFA FRM
Aug 25, 2010
2
3
Replies
44
Views
2K
Dec 12, 2021
David Harper CFA FRM
L1.T5.58 Value at risk (VaR) backtest significance (Jorion)
David Harper CFA FRM
Aug 26, 2010
2
3
Replies
47
Views
1K
Nov 23, 2021
annaleevance2000
PQ-T5
P2.T5.200. Implied volatility (topic review)
Suzanne Evans
Jul 10, 2012
Replies
17
Views
642
Nov 20, 2021
David Harper CFA FRM
P2.T5.409. Implied volatility smile (Hull)
Nicole Seaman
Feb 20, 2014
2
Replies
38
Views
2K
Nov 15, 2021
David Harper CFA FRM
P2.T5.406. Basel on stress testing, unified risk measurement, and feedback loops (Messages)
Nicole Seaman
Feb 11, 2014
2
Replies
23
Views
978
Nov 15, 2021
David Harper CFA FRM
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