Introduction to Risk Modelling
These questions cover the quantification of risk, measures of correlation and modelling approaches
Please login to start the quiz
0 of 5 questions completed
This is the quiz description.
Please enter your name and email to start.
You have already completed the quiz before. Hence you can not start it again.
Quiz is loading...
You must sign in or sign up to start the quiz.
You have to finish following quiz, to start this quiz:
0 of 5 questions answered correctly
Time has elapsed
You have reached 0 of 0 points, (0)
Question 1 of 5
Which one of the following statements about correlation is correct?Correct
Pearson’s rho is a valid only if the marginal distributions are jointly elliptical; Spearman’s rho and Pearson’s rho are equal if the underlying data are uniformly distributed; Spearman’s rho is a rankIncorrect
Question 2 of 5
Match the following risks to the descriptions of approaches used
- Typically assessed using stochastic models
- Can be assessed stochastically or through scenario analysis
- Not assessed quantitatively historically, but quanitative models increasingly required by regulators
- Best assessed using worst-case scenarios
Question 3 of 5
Match each of the following modelling approaches to the most appropriate description
- Using each randomly-selected historical month of observations as a datapoint in a forward-looking simulation
- Evaluating a small number of situations using different pre-specified assumptions
- Using a linear combination of economic variables to describe the returns on an asset class
- Using mathematically-derived relationships between asset classes to describe their future returns
Question 4 of 5
Which one of the following does not describe a feature of bootstrapping?Correct
Because data are selected randomly, any inter-temporal links are lost.Incorrect
Question 5 of 5
Which one of the following is not a desirable characteristic of pseudo-random numbers?Correct
Pseudo-random numbers should be replicableIncorrect