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Question 1 of 4
1. Question
Consider two variables, such as the exchange rates for GBP and EUR against the US dollar. Variable X → USDGBP Variable Y → USDEUR The covariance matrix between variable X and variable Y is shown below. What is the correlation between these?
USDGBP 0.002176 0.001648
USDEUR 0.001648 0.001694
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Question 2 of 4
2. Question
Which of the moments (or parameters) of a probability distribution function is calculated using the sum of cubed deviations from the mean?
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Question 3 of 4
3. Question
What is the expected return over this investor’s portfolio of three funds?
Fund Name Portfolio Value Expected Return
Emerging Markets $8000 13%
UK Corporate Bonds $5000 4%
US Small Cap $7000 9%
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Question 4 of 4
4. Question
Loss frequency (or the discrete event of default of an entity) is often expressed as Probability of Default(PD). The loss severity is often expressed as Loss Given Default(LGD). Which distribution is most often used to model PD?
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