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8007 Exam Dumps : Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

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Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Questions and Answers

Question 1

Let N(.) denote the cumulative distribution function of the standard normal probability distribution, and N' its derivative. Which of the following is false?

Options:

A.

N(0) = 0.5

B.

N'(0) ≥ 0

C.

N(x) → 0 as x → ∞

D.

N'(x) → 0 as x → ∞

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Question 2

Which of the following is not a direct cause of autocorrelation or heteroskedasticity in the residuals of a regression model?

Options:

A.

A structural break in the dependent variable

B.

A high positive correlation between two explanatory variables

C.

The omission of a relevant explanatory variable

D.

Using an inappropriate functional form in the model

Question 3

Over four consecutive years fund X returns 1%, 5%, -3%, 8%. What is the average growth rate of fund X over this period?

Options:

A.

2.67%

B.

2.75%

C.

2.49%

D.

None of the above