Medium FRM Part 2 Practice Questions

323 free medium-difficulty FRM Part 2 questions, drawn live from KomFi's calibrated bank. The exam backbone: the difficulty band where most scoring happens.

1. Which of the following statements correctly identifies a structural deficiency of the Gaussian copula in model
2. If the shape parameter is ξ = 0.25, what is the tail index α?
3. If the Area Under the Curve (AUC) from the Receiver Operating Characteristic (ROC) is 0.85, what is the calcul
4. A leptokurtic distribution, often modeled by EVT, is characterized by which of the following compared to a Nor
5. In the GPD framework, if the threshold u is chosen too low, what is the most likely error in the resulting mod
6. A bank utilizes a 'through-the-cycle' (TTC) rating system. During a sharp economic downturn, what behavior sho
7. What is the primary reason why risk-neutral probabilities of default (PD) extracted from credit spreads are ge
8. Which fixed-income mapping technique treats a bond portfolio as a single zero-coupon bond located at the weigh
9. Which of the following describes the 'One Big Loss' principle for heavy-tailed (subexponential) distributions?
10. To immunize the economic value of equity against a parallel rate shift, what is the required Duration Gap (DGA
11. What happens to the mean of a GPD-distributed variable if the tail index ξ ≥ 1?
12. What is the maximum 'plus-factor' added to the base multiplier of 3.0 for a bank that records 9 exceptions in
13. Which of the following is a unique capability of the Hull-White approach relative to basic HS?
14. A hedge fund strategy captures frequent small gains but suff… — This risk profile is most characteristic of wh
15. During a significant market sell-off, how will the measured VaR likely compare to the actual realized loss?
16. Which mapping technique is the first to explicitly account for non-parallel shifts in the yield curve, such as
17. An active manager has an Information Coefficient (IC) of 0.06 and a breadth (BR) of 400 independent bets per y
18. In term structure modeling, which characteristic distinguishes the Cox-Ingersoll-Ross (CIR) model from the Vas
19. A bank's internal model for Credit Value Adjustment (CVA) us… — Why is this required by regulatory and account
20. A bank's Economic Value of Equity (EVE) is exposed to interest rate risk. Assets are $1,000 m with duration D_
21. Which resource is typically the second to be utilized after the defaulting member's own initial margin is exha
22. How would a new $10 billion long-term mortgage (RSF factor 85%) funded by $10 billion in new core deposits (AS
23. According to the BCBS standard for cryptoassets, a bank's to… — What is this limit?
24. A risk manager uses the Cornish-Fisher expansion to adjust a… — What is the primary purpose of this semi-param
25. An analyst uses a Gaussian copula to model the joint default of two firms. They observe that as the threshold
26. In the comparison of rating system philosophies, which system is characterized by stable ratings that rarely m
27. A risk manager is evaluating an 'Illiquid Asset' (e.g., Priv… — Why is the 'Autocorrelation' of these returns
28. A risk practitioner is using the Hill estimator to find the… — What is the practitioner looking for in this 'H
29. If the returns exhibit strong volatility clustering (GARCH effects) and today is a particularly calm day, what
30. For a derivatives portfolio, which Counterparty Credit Risk (CCR) metric is primarily used for setting interna

Sign up free — drill medium FRM Part 2 questions with full explanations →