Free GARP FRM-Part-1 Exam Questions

Portfolio A has total assets of $14 million and an expected return of 12.50 percent. Historical VAR of the portfolio at 5 percent probability level is $2,400,000. What is the portfolio's standard deviation?

An analyst is estimating whether a fund's excess return for a quarter is related to interest rates and last quarter's excess return. The regression equation is found to have unconditional heteroskedasticity and serial correlation. Which of the following is most accurate? Parameter estimates will be:

Using the Black-Scholes model, compute the value of a European call option using the following imputs:Underlying stock price: $100Exercise price: $90Risk-free interest rate: 5%Volatility: 20%Dividend yield: 0%Time to expiration: one yearThe Black-Scholes call option price is closest to:

The predictions that are generated from an underfitted model will likely have:

A senior analyst at a financial institution is giving a presentation to a group of junior analysts on the features of the power law and its uses. The senior analyst notes that the power law is particularly important in understanding the tails of distributions. Which of the following is correct regarding the power law?