Free GARP FRM-Part-2 Exam Questions

Which of the following methods is not one of the three approaches for mapping a portfolio of fixed-income securities onto risk factors?

A risk analyst is considering the best method to generate a credit score that updates in near real-time while considering the payment and purchase history of a customer. Which of the following methods for developing credit risk scoring and rating models should he use?

Which of the following statements describes the best approach for liquidity transfer pricing?

A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on this historical data, the long-run mean correlation of Dow stocks was 34%, and the regression output estimates the following regression relationship: Y = 0.262 − 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?

A significant challenge in estimating the legal loss module of an operational risk stress test is that: