Total 132 Questions |
Updated On: Apr 25, 2024
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| Name: | Exam II: Mathematical Foundations of Risk Measurement |
| Exam Code: | 8002 |
| Certification: | PRM |
| Vendor: | PRMIA |
| Total Questions: | 132 |
| Last Updated: | Apr 25, 2024 |
An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?
The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?
Consider the following distribution data for a random variable X: What is the mean and variance of X?
In a multiple linear regression, the significance of R2 can be tested using which distribution?
A simple linear regression is based on 100 data points. The total sum of squares is 1.5 and the correlation between the dependent and explanatory variables is 0.5. What is the explained sum of squares?