R Programming Language Certification Risk Assessment & Management 2

Question 1

Which R package provides the `VaR()` function for computing Value at Risk directly from a return series?

Accepted Answer

PerformanceAnalytics

Answer

PerformanceAnalytics includes `VaR()` and `ES()` for portfolio risk metrics on time-series objects.

Question 2

In Monte Carlo simulation for risk assessment in R, which function generates samples from a multivariate normal distribution?

Accepted Answer

MASS::mvrnorm()

Answer

`MASS::mvrnorm()` generates random samples from a multivariate normal distribution with a specified mean vector and covariance matrix.

Question 3

What does a Q-Q plot (created with `qqnorm()` in R) help assess in risk modeling?

Accepted Answer

Whether residuals follow a normal distribution

Answer

A Q-Q plot compares the distribution of data against theoretical quantiles of a normal distribution to assess normality.

Question 4

Which R function fits a GARCH model commonly used to model volatility clustering in financial risk?

Accepted Answer

rugarch::ugarchfit()

Answer

The `rugarch` package's `ugarchfit()` provides a comprehensive framework for fitting univariate GARCH-family models.

Question 5

In sensitivity analysis, what does the `sensitivity::soboljansen()` function compute?

Accepted Answer

Sobol sensitivity indices for variance-based global sensitivity

Answer

Sobol indices partition the variance of a model output to individual inputs, measuring each input's contribution to total output uncertainty.

R Programming Language Certification Practice Test