FRM-P1-定量分析-65题-2017-解析

=P(Mortgagesubprimean120/1000=12%;thereforeP(Mortgages75%.Rationale:WearelookingtofindP(G/U),theprobability(0.50)*(0.60)/[(0.50)(0.60)+(0.50)(0.15)JP(G/U)=0Rationale:Sincethesubsidiarywilldefaultiftheparentdefaults,thejointdefaultprobabilRationale:A=eventthatapolicyholderhasanautopol0.15=0.5P(AcnH)=P(H)-P(AnH)=0.5-0.15=0.3renewatleastonepolicyisshownbelow:0.全球财经教育领导品牌Rationale:Sincethemedianishigherthanthemean,thedistributionisnegativeRationale:AdistributionthathasagreaterpercentRationale:BinomialtendsA.Rationale:LossfrequencyRationale:ThecharacteristicsofanormalRationale:NormalvariablesarestableunderaddhevarianceofthesamplingdistfRationale;IftheprobabilitydistributionofanestimatorhasanexpectedvalueequaltothepC.Themean-varianceappachievedasignificantlyhigherperformance(using12%andtheirstandarddeviationwasA.theperformanceofactiveA.productofthetwosamplevariaC.productofthetwosamplRationale:TheteststatisticforanF-testoftheequaA.89%probabilityregulatorswillrejecB.11%probabilityregulaRationale:InhypothesistestingweacceptthealternatehypothesisifthenulRationale:Theresultwo高顿财经高顿财经24.YourfirmusesapropriethatarebelievedtofollowthePoissondis(0.005)=5.NextthemathematicalformulaforthePodistributionforrandomvariables.Eckoclaimedthatthez-statisticmeasRationale:Thez-statisticequals:(x-μ)/owthepopulation,μisthemeanvalueTherefore,asindicatedbytheformula,thez-statistimean(Eckoiscorrect).Accordingstandarddeviationsofthemean,whichvalueoftheportfoliooneyearfRationale:Atthe5%levRationale:SincetheseareindependentnormallydistributedraRationale:CorrelationdescribesmovementinthRationale:Left-skeweddistributionsarethosewithalongertailtotheleftsidealsounexpected.Whichofthefodistribution'scharactestimatedannualstandarddeviationofo,=100,000×√(u₂O₄)+(u₂0₆)+2×u₂Rationale:ThedistributionofreturnsisliRationale:Thekurtosisindicatesthelevethenullhypothesiswhentrue,whichdecreases.Thisistheoppob.andc.,whicharefalse.Thisleadstoanincreaseinthelikelihoodoftype2error,whichistoacceptafalse37.AnanalystisconceRationale:Aresultisstatisticallysignificanlevel,thenweconcludethatthesampleestimateisstatisticwhichhasanexpectedvalueRationale:Anunbiasedestimatorhasanexpectedvalueequaltothetruevalueparameter.Aconsistentestimatorismsamplestandarddeviationis20%.SincethepTherelatedt-tablevaluesare(ti,jdenotesthe(100-Rationale:Herethet-reliabilityfactorisusedsincethepopulationvarianceisunknown.金球财经教育领导品牌40.IftheexpectedvarianceofaregressionerrortermdependsontA.DoesnotviolatetB.WouldviolatetheassumptC.WouldviolatetheassumptionsD.WouldviolatetheassumptRationale:Theclassicallinearregressionmodelassumeshomoskedasticity,whichmeansthatthelevel.AccordingtotheregresRationale:OneoftheassumptionsofthemultipleregressionmodelofleastsquaresistRationale:TheresearcheriscorreRationale:Sincethereareatfexperienceperemployeep-valuefortheF-statisticfortherRationale:Thet-testwouldnotbesufficienttotestthejointhypothesis.Inordertotesttwhichitemsinasetofindependentvindependentvariablesexplainsasignificantportionofthevariationoftstatements:Statement1:Heteroskedasticityexistsiftherlaggedvalues.Statement2:Hereroskedasticitycausesthet-statisticsoftRationale:Heteroskedasticityexistsifthevarianceoftheresidualsisnotconstant.Inaheteroskedasticlikelyaccurate?TheanalysweeklyreturnsofthefundontheweeklyreturnoftheS&P5Rationale:Theweeklyreturnsa50.Whichofthefollll.ntheOLSmodel,thethevarianceoftheerro51.IftheF-testshowsthatthesetofXvariablesRationale:Asdealingwitha52.Youbuiltalinearretwoindependentvariables,ageandexperiRationale:Ageandexperiencearehighlycorrelatedandwouldleadtomultic53.ManystatisticalproblemsarisewhenestimatingA.Stratificationvariables.MulticollinearityoccurswhentheindependentvariablesarethemselvescorwhichofthefollowingconditionswouldmostlRationale:Ifthevarianceoftheresidualsisconstantacrossallobservationsinthesample,theregressionA.exportt=bO+b1(t).b0=7%D.Inexportt=In(b0)+b1(tRationale:Alog-linearmodelismost56.Underwhichcircumstancesfluctuations)inthecaseofatA.grossdomesticproduct(GDP).Rationale:Itwouldbeinappropriatetoforecastasinthiskindofbusinesssituationwew57.Considerthefollowingregressionequationutiliztermsofthequarteroftheiroccurrence:Djt=1ifperiodtisthefRationale:TheintercepttermrepresentstheaveragevalueofGDPforthefour58.Whichofthefollowin