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模拟考试卷

FRM一级模拟自测:If the current market price

IfthecurrentmarketpriceofastockisUSD50,whichofthefollowingoptionsonthestockhasthehighest gamma? a.Calloptionexpiringin30dayswithstrikepriceofUSD50 b.Calloptionexpiringin5dayswithstrikepriceofUSD30 c.Calloptionexpiringin5dayswithstrikepriceofUSD50 d.Pu

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FRM一级模拟自测:For a sample of 400 firms

Forasampleof400firms,therelationshipbetweencorporaterevenue(Y i )andtheaverageyearsofexperience peremployee(X i )ismodeledasfollows: Y i = 1 + 2 X i + i, i = 1, 2,...,400 You wish to test the joint null hypothesis that 1 = 0 and 2 = 0 at the 95% confi

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FRM一级模拟自测:An analyst is trying to get

An analyst is trying to get some insight into the relationship between the return on stock LMD (R LMD,t ) and the return on the SP 500 index ( R SP,t ). Using historical data, the analyst estimates thefollowing: Annual mean return for LMD: 11% Annual

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FRM一级模拟自测:Portfolio of default

FRM一级模拟自测:A fixed income portfolio manager currently holds a portfolio of bonds of various companies.Assuming all these bonds have the same annualized probability of default and that the defaults are independent,the number of defaults in