Page 8 of 13 FirstFirst ... 678910 ... LastLast
Results 71 to 80 of 124

Thread: FRM and general information

  1. #71
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    5. Which of the following comes under Operational Risk

    A. Model Risk and People Risk
    B. Model Risk and Legal Risk
    C. People Risk and Legal Risk
    D. All of the above
    E. None of the above

  2. #72
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    6. Calculate Sharpe Measure, Treynor Measure with the following information

    Portfolio Expected Return = 20%
    Standard Deviation = 30%
    Risk Free Rate = 3%

    A. Both Sharpe Measure and Treynor Measure cannot be calculated with the above information
    B. Sharpe Measure = 0.57 , Treynor Measure cannot be calculated with the above information
    C. Sharpe Measure cannot be calculated with the above information, Treynor Measure = 0.57
    D. Sharpe Measure = 0.57, Treynor Measure = 0.17

  3. #73
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    7. Calculate the Risk Premium of an asset with the following info:
    Quantity of Risk = 1.5
    Expected Return of Portfolio = 20%
    Risk Free Rate = 3%
    Expected Return of Market = 15%

    A. 0.255
    B. -0.255
    C. 0.18
    D. -0.18
    E. 0.08

  4. #74
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    8. Calculate the Information Ratio with the following information

    Tracking Error = 4%
    Expected Return of Market = 15%
    Expected Benchmark Return = 6%

    A. 2.25
    B. 0.0036
    C. -2.25
    D. -0.0036
    E. Cannot be determined with the above information

  5. #75
    Senior Member
    Join Date
    Mar 2010
    Posts
    169
    Rep Power
    11
    Quote Originally Posted by financetutelage View Post
    6. Calculate Sharpe Measure, Treynor Measure with the following information

    Portfolio Expected Return = 20%
    Standard Deviation = 30%
    Risk Free Rate = 3%

    A. Both Sharpe Measure and Treynor Measure cannot be calculated with the above information
    B. Sharpe Measure = 0.57 , Treynor Measure cannot be calculated with the above information
    C. Sharpe Measure cannot be calculated with the above information, Treynor Measure = 0.57
    D. Sharpe Measure = 0.57, Treynor Measure = 0.17
    Sharpe ratio = (r - rf)/std dev = 0.57

    Treynor ratio = (Average Return of the Portfolio - Average Return of the Risk-Free Rate) / Beta of the Portfolio

    As beta is not provided, Treynor ratio cannot be calculated.

    Ans: B
    Last edited by naveen; 15-10-2012 at 04:16 PM.

  6. #76
    Senior Member
    Join Date
    Jul 2009
    Posts
    117
    Rep Power
    12
    Quote Originally Posted by financetutelage View Post
    8. Calculate the Information Ratio with the following information

    Tracking Error = 4%
    Expected Return of Market = 15%
    Expected Benchmark Return = 6%

    A. 2.25
    B. 0.0036
    C. -2.25
    D. -0.0036
    E. Cannot be determined with the above information
    Not sure...seems E

  7. #77
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    The answer is D

  8. #78
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    The answer for question No.5 is D
    The answer for question No.6 is B
    The answer for question No.7 is C
    The answer for question No.8 is E

    Explanations in coming Post

  9. #79
    FRM Expert financetutelage's Avatar
    Join Date
    Sep 2012
    Posts
    38
    Rep Power
    8
    9. Positively Skewed distributions has

    A. Has many outliers in the left tail of distribution
    B. Has many outliers in the right tail of distribution
    C. Has many outliers in both right and left tail of distribution
    D. Has outliers in center of the distribution
    E. Has no outliers at all

  10. #80
    Senior Member
    Join Date
    Aug 2009
    Posts
    192
    Rep Power
    12
    Quote Originally Posted by financetutelage View Post
    9. Positively Skewed distributions has

    A. Has many outliers in the left tail of distribution
    B. Has many outliers in the right tail of distribution
    C. Has many outliers in both right and left tail of distribution
    D. Has outliers in center of the distribution
    E. Has no outliers at all
    Ans. B

    Outliers should be in the right side

Tags for this Thread

Bookmarks

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts
  •