定量分析基础试题及解析-金程FRM

定量分析基础试题及解析

行业资讯 | 2020-05-28

今天金程FRM小编给大家讲一讲什么是定量分析，顺便给大家出一些有关定量分析的试题，还有解析哦，希望可以帮助大家！

什么是定量分析法？

定量分析法（quantitative analysis method）是对社会现象的数量特征、数量关系与数量变化进行分析的方法。在企业管理上，定量分析法是以企业财务报表为主要数据来源，按照某种数理方式进行加工整理，得出企业信用结果。定量分析是投资分析师使用数学模块对公司可量化数据进行的分析，通过分析对公司经营给予评价并做出投资判断。定量分析的对象主要为财务报表，如资金平衡表、损益表、留存收益表等。其功能在于揭示和描述社会现象的相互作用和发展趋势。

FRM

Q-1.Using a sample size of 61 observations,an analyst determines that the standard deviation of the returns from a stock is 21%.Using a 0.05 significance level,the analyst:

(If df=60 and p=0.05,the critical value is 79.08)

A.Can conclude that the standard deviation of returns is higher than 14%.

B.Cannot conclude that the standard deviation of returns is higher than 14%.

C.Can conclude that the standard deviation of returns is not higher than 14%.

D.None of the above.》》点击领取全套定量分析试题资料询

Solution:A

The required test for testing the variance is the chi-squared test.

To test whether the standard deviation is higher(H0:standard deviation is lower than or equal to 14%),the critical value of chi-squared will be 79.08(using df=60 and p=0.05).Since the test statistic is higher than the critical value,the analyst can reject the null hypothesis and concludes that the standard deviation of returns is higher than 14%.

Q-2.According to the Basel back-testing framework guidelines,penalties start to apply if there are five or more exceptions during the previous year.The Type I error rate of this test is 11 percent.If the true coverage is 97 percent of exceptions instead of the required 99 percent,the power of the test is 87 percent.This implies that there is a(an):

A.89%probability regulators will reject the correct model.

B.11%probability regulators will reject the incorrect model.

C.87%probability regulators will not reject the correct model.

D.13%probability regulators will not reject the incorrect model.

Solution:D

The power of the tat refers to the probability of rejecting an incorrect model,which is one minus the probability of not rejecting an incorrect model.Given that the power of the test is 87 percent,the probability of a type II error,the probability of not rejecting the incorrect model is 1.0-0.87=13%.

Q-3.For a sample of 400 firms,the relationship between corporate revenue(Yi)and the average years of experience per employee(Xi)is modeled as follows:

定量分析
You wish to test the joint null hypothesis that at the 95%confidence level.The p-value for the t-statistic for is 0.07,and the p-value for the t-statistic for is 0 06.The p-value for the F-statistic for the regression is 0.045.Which of the following statements is correct?

A.You can reject the null hypothesis because eachβis different from 0 at the 95%confidence level.

B.You cannot reject the null hypothesis because neitherβis different from 0 at the 95%confidence level.

C.You can reject the null hypothesis because the F-statistic is significant at the 95%confidence level.

D.You cannot reject the null hypothesis because the F-statistic is not significant at the 95%confidence level.

Solution:C

The T-test would not be sufficient to test the joint hypothesis.In order to test the joint null hypothesis,examine the F-statistic,which in this case is statistically significant at the 95%confidence level.Thus the null can be rejected.

Q-4.Which of the following is assumed in the multiple least squares regression model?

A.The dependent variable is stationary.

B.The independent variables are not perfectly multicollinear.

C.The error terms are heteroskedastic.

D.The independent variables are homoskedastic.

Solution:B

One of the assumptions of the multiple regression model of least squares is that no perfect multicollinearity is present.Perfect multicollinearity would exist if one of the regressors is a perfect linear function of the other regressors.

None of the other choices are assumptions of the multiple least squares regression model.

Q-5.An analyst is performing a regression.The dependent variable is portfolio return while the independent variable is the years of experience of the portfolio manager.In his analysis,the resulting scatter plot is as follow:

定量分析