- Exam Code: 8007
- Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
- Updated: Sep 16, 2026
- Q & A: 133 Questions and Answers
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| Section | Objectives |
|---|---|
| Risk Measurement Techniques | - Volatility and correlation
|
| Stochastic Processes and Time Series | - Time series analysis
|
| Simulation and Numerical Methods | - Monte Carlo simulation
|
| Probability and Statistics Foundations | - Statistical inference
|
Every covariance matrix must be positive semi-definite. If it were not then:
Correct Answer: C 🗳️
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%?
Correct Answer: A 🗳️
A biased coin has a probability of getting heads equal to 0.3. If the coin is tossed 4 times, what is the probability of getting heads at least two times?
Correct Answer: D 🗳️
On average, one trade fails every 10 days. What is the probability that no trade will fail tomorrow?
Correct Answer: C 🗳️
An indefinite integral of a polynomial function is
Correct Answer: A 🗳️
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