Practice 8002 Exam Online

Question 1

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 less than 1?

A : 0.32

B : 0.64

C : 0.96

D : 1.92

Answer: B

Question 2

The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?

A : 1

B : 0.5

C : 0

D : None of the above

Answer: C

Question 3

In a portfolio there are 7 bonds: 2 AAA Corporate bonds, 2 AAA Agency bonds, 1 AA Corporate and 2 AA Agency bonds. By an unexplained characteristic the probability of any specific AAA bond outperforming the others is twice the probability of any specific AA bond outperforming the others. What is the probability that an AA bond or a Corporate bond outperforms all of the others?

A : 5/7

B : 8/11

C : 6/11

D : None of these

Answer: D

Question 4

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?

A : 0.75

B : 1.125

C : 0.3333

D : 0.375

Answer: D

Question 5

The correlation between two asset returns is 0.5. What is the largest eigenvalue of their correlation matrix?

A : 0.5

B : 1

C : 1.5

D : None of the above

Answer: C

Name:	Exam II: Mathematical Foundations of Risk Measurement
Exam Code:	8002
Certification:	PRM
Vendor:	PRMIA
Total Questions:	132
Last Updated:	Apr 24, 2024

PRMIA 8002