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Tracking error, the information ratio, and the Sortino ratio [foundation] 09 Feb 2010
AIM: Compute and interpret tracking error, the information ratio, and the Sortino ratio. Each of these metrics (i.e., tracking error [TE], the information ratio [IR] and … read more
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Treynor measure, Sharpe measure, and Jensen’s alpha [foundation] 09 Feb 2010
AIM: Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen's alpha. The Treynor measure: excess return divided by portfolio beta (b): (EQUATION GOES … read more
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Treasury bond DV01, L1 [practice, valuation] 08 Feb 2010
I added questions to give practice on key testable bond concepts; the relationship between bond price, duration and DV01 (see question 5.7) comes in handy - … read more
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Price & quantity of risk [foundation] 08 Feb 2010
AIM: Define and calculate the price of risk and the quantity of risk (beta). Beta is also called the quantity of risk. The equity risk premium … read more
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Market efficiency [foundation] 08 Feb 2010
AIM: Define market efficiency, identify the three forms of market efficiency, and discuss the link between efficiency and the CAPM. The three forms of market efficiency … read more
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Week in risk (2/5/2010) 05 Feb 2010
In the forum: Jensen’s alpha versus CAPM Typical practice question on arbitrage with spreadsheet calculations here My 7-min video on How to calculate simple historical volatility. … read more
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Commodity lease rate [practice, products] 05 Feb 2010
4. If the lease rate of commodity A is less than the risk-free rate, what is the market structure of commodity A? [source: FRM 2010 practice … read more
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Capital asset pricing model (CAPM) [foundation] 05 Feb 2010
AIM: Describe the Capital Asset Pricing Model (CAPM), list its underlying assumptions, and explain its implications, contributions and limitations. Security Market Line (SML) The security market … read more
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Covariance/correlation of returns [foundation] 05 Feb 2010
AIM: Describe how the covariance/correlation of returns between securities affects the returns distribution of a portfolio of securities. The variance of the two-asset portfolio is given … read more
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How can higher NPV project be undesirable? [practice] 04 Feb 2010
Sample Question L1.3. A corporation is faced with the decision to choose between the two following projects: Project Investment Perpetual Annual Cash Flow Cash Flow at … read more
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- Hi, Most of your recent postings are missing equations. It is showing "EQUATION GOES HERE" We are not able to see any equations. Please update srinivas … 09 Feb 2010
- The best explanation available in the www this should be 1:1 in Wikipedia like this. 06 Feb 2010
- Maybe also of interest an interview with professor Reinhart on EconTalk: Carmen Reinhart of the University of Maryland talks with EconTalk host Russ Roberts about the … 06 Feb 2010
- Can anyone help me solve this question…. As of February 5, 2002, two Treasury bonds were priced as follows: Coupon Maturity TED …08 Feb 2010
- Hallo, I would like to ask whether Basel II assumes a zero mean for calculating a 10-day VaR. In other words, suppose I know the standard …08 Feb 2010
- Hi David, I have found the greek questions are quite interesting and challenging.. 1. Which of the following statements about option time value is true? a. …08 Feb 2010