Education
- Overview
- 01 Introduction to ERM
- 02 External risk frameworks
- 03 The ERM process
- 04 Risk classification
- 05 Risk measurement
- 06 Introduction to risk modelling
- 07 Quantitative analysis of financial data
- 08 Further risk modelling
- 09 Analysis of different types of risk
- 10 Risk optimisation and responses to risk
- 11 Risk Mitigation
- 12 Capital Management
Quantitative Analysis of Financial Data
These questions cover the analysis of data, and the selection and use of copulas
Please login to start the quiz
Quiz-summary
0 of 5 questions completed
Questions:
- 1
- 2
- 3
- 4
- 5
Information
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:
Results
0 of 5 questions answered correctly
Your time:
Time has elapsed
You have reached 0 of 0 points, (0)
Categories
- Not categorized 0%
- 1
- 2
- 3
- 4
- 5
- Answered
- Review
-
Question 1 of 5
1. Question
Which of the following statistical distributions might be suitable for modelling the returns on a portfolio of assets?
Correct
The log-normal, gamma and pareto distributions are all lef-bounded at zero, so are unsuitable for modelling returns (which can usually be both positive and negative)
Incorrect
-
Question 2 of 5
2. Question
State which of the following is (or are) true in relation to stochastic simulations using principal component analysis (PCA)
Correct
The first principal component is the one with the largest eigenvalue; each eigenvalue represents the variance of that principal component
Incorrect
-
Question 3 of 5
3. Question
Which one of the following correctly describes the process for evaluating an Archimedean copula?
Correct
Incorrect
-
Question 4 of 5
4. Question
If two asset classes are linked by a Clayton copula with a parameter (a) of 6, what is the correlation between these asset classes as measure by Kendall’s tau?
Correct
Kendall’s tau is given by a/(a+2), so 6/(6+2)=0.75
Incorrect
-
Question 5 of 5
5. Question
Match each of the following equations to the correct description
Sort elements
- Auto-regressive process
- Moving average process
- Integrated process
- Trend stationary process
- White noise process
-
X(t)=a(0)+a(1)X(t-1)+a(2)X(t-2)+e(t)
-
X(t)=e(t)+b(1)e(t-1)+b(2)e(t-2)
-
X(t)-X(t-1)=a(0)+e(t)
-
X(t)=a(0)+a(1)t+e(t)
-
X(t)=e(t)
Correct
Incorrect