FRM Part1 2018 Practice Test

2018

FRM

®

PRACTICE EXAM PART I

FINANCIAL RISK MANAGER

garp.org/frm

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A hedge fund manager is comparing some forecasting models provided by the firm’s modeling team and asks the firm’s risk manager to suggest a selection criterion that applies the largest penalty for the number of parameters estimated. From the following model selection criteria, which has the largest penalty for the number of parameters estimated? Mean squared error Akaike information criterion Schwarz information criterion Mean squared error corrected for degrees of freedom

Correct answer: C Explanation: The Schwarz information criterion penalizes degrees of freedom most heavily for given number of observations compared to the mean squared error, Akaike information criterion, or mean squared error corrected for degrees of freedom .

Quantitative Analysis a Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Edition (Mason, OH: Cengage Learning, 2006). Chapter 5. Modeling and Forecasting Trend a

Compare and evaluate model selection criteria, including mean squared error (MSE), s2, the Akaike information criterion (AIC), and the Schwarz information criterion (SIC). a


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For the 4% fixed-rate mortgage:

Savings = USD 1,342.05 - USD 1,193.54 = 148.51 148.5 1

Section: Financial Section: Financial Markets and Products Reference: Bruce Reference: Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Today’s Markets, 3rd Edition 3rd Edition (New York: John Wiley & Sons, 2011), Chapter 20 - Mortgages and Mortgage-Backed Securities Learning Objective: Calculate Objective: Calculate a fixed rate mortgage payment, and its principal and interest components.


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There are transaction costs associated with buying and selling assets. An individual investor can affect the price of a stock by buying or selling stocks. Investors should consider their personal income taxes in making investment decisions. Investors have the same expectations regarding expected returns, the variance of returns, and the correlation structure between all pairs of stocks.

Correct answer: D Explanation: CAPM assumes investors have identical expectations with respect to expected returns, the variance of returns, and the correlation matrix representing the correlation structure between all pairs of stocks. The other choices are not assumptions of the CAPM.

Section: Foundations of Risk Management Management Reference: Edwin Reference: Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, 9th Edition (Hoboken, Edition (Hoboken, NJ: John Wiley & Sons, 2014), Chapter 13- The Standard Capital Asset Pricing Model Learning Objective: Describe Objective: Describe the assumptions underlying the t he CAPM.


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FRM Part1 2018 Practice Test

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