Assess the CertsIQ’s updated FRM-Part-1 exam questions for free online practice of your FRM Exam Part I test. Our FRM Part 1 dumps questions will enhance your chances of passing the GARP Certification certification exam with higher marks.
A risk manager at Firm SPC is testing a portfolio for heteroskedasticity using the White test. The portfolio is modeled as follows: 
The residuals are computed as follows: 
Which of the following correctly depicts the second step in the White test for the portfolio?
A risk analyst uses the bootstrap method to assess the market risk of a global equity portfolio that experienced significant volatility in the recent past. The analyst applies independent and identically distributed (IID) bootstrapping to the extracted standardized residuals of the fitted model, and these bootstrapped standardized residuals are then used to generate time paths of future asset returns. In the final step, the simulated data is used to estimate the VaR of the global equity portfolio over a 1-month horizon. Which of the following will the analyst find to be correct when applying the IID bootstrap method?
A newly hired quantitative analyst at a financial institution has been asked by a portfolio manager to calculate the VaR of a portfolio for 10-, 15-, 20-, and 25-day periods. The portfolio manager notices something wrong with the analyst’s calculations. Assuming the annualized volatilities of daily returns for the four periods are equal, and that the daily returns are independently and identically normally distributed with a mean of zero, which of the following VaR estimates for this portfolio is inconsistent with the others?
In the context of stress testing principles for banks, which of the following statements is correct regarding wrong-way risk? Wrong-way risk emerges when: there are changes in basis between the opening and closing of a futures
As a fund manager, Bryan Cole, CFA, is responsible for assessing the risk and return parameters of the portfolios he oversees. Cole is currently considering a portfolio consisting of only two stocks. The first stock, Remba Co., has an expected return of 12 percent and a standard deviation of 16 percent. The second stock, Labs, Inc., has an expected return of 18 percent and a standard deviation of 25 percent. The correlation of returns between the two securities is 0.25.Cole has the option of including a third stock in the portfolio. The third stock, Wimset, Inc., has an expected return of 8% and a standard deviation of 10 percent. If Cole constructed an equally weighted portfolio consisting of all three stocks, the portfolio's expected return would be closest to:
© Copyrights CertsIQ 2025. All Rights Reserved
We use cookies to ensure that we give you the best experience on our website (CertsIQ). If you continue without changing your settings, we'll assume that you are happy to receive all cookies on the CertsIQ.
Full Access to 533 Questions