Free Mathematical Foundations of Risk Measurement – 2015 Edition Exam 8007 Exam Practice Test

An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101. Approximate the value of the option delta using a first order central finite difference.

• -4
• 0.25
• -0.5
• -0.25

What is the 40th term in the following series: 4, 14, 30, 52, ...?

• 240
• 4598
• 4840
• 4960

You invest $100 000 for 3 years at a continuously compounded rate of 3%. At the end of 3 years, you redeem the investment. Taxes of 22% are applied at the time of redemption. What is your approximate after-tax profit from the investment, rounded to $10?

• $9420
• $7350
• $7230
• $7100

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?

• 0.7367
• 0.3483
• 0.2646
• None of these

A linear regression gives the following output:Figures in square brackets are estimated standard errors of the coefficient estimates. What is the value of the test statistic for the hypothesis that the coefficient of is zero against the alternative that is less than zero?

• 0.125
• 2.5
• -1.25
• -2.5

What is the maximum value for f(x)= 8-(x+3)(x-3)?

• 8
• -1
• 17
• None of these

Let E(X ) = 1, E(Y ) = 3, Corr(X, Y ) = -0.2, E(X2 ) = 10 and E(Y2 ) = 13. Find the covariance between X and Y

• -2.8
• 1.3
• -1.2
• None of the above

Which of the following statements concerning class intervals used for grouping of data is correct?When grouping data, attention must be paid to the following with regards to class intervals:1. Class intervals should not overlap2. Class intervals should be of equal size unless there is a specific need to highlight data within a specific subgroup3. The class intervals should be large enough so that they not obscure interesting variation within the group

• Statements 2 and 3 are correct
• Statements 1 and 2 are correct
• All three statements are correct
• Statements 1 and 3 are correct

Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1

• 0.5
• 0
• 1
• 2

Evaluate the derivative of ln(1+ x2) at the point x = 1

• 0.5
• 0
• 1
• 2