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Walking through the first 2009 FRM learning XLS: Intro to VaR, 10 Min [video] 25 Apr 2009
I’ve uploaded six learning spreadsheets for the 2009 FRM program (they correspond to the video tutorials and therefore track with the assigned readings). Here is an … read more
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Minimum variance hedge ratio is slope of OLS regression line, 4 min. [video, FRM: market, FRM: quant 27 Mar 2009
Gujarati’s regression is applied in Hull’s 3.3 example of an airline that cross-hedges jet fuel costs with heating oil futures. For the FRM candidate, I have … read more
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Extreme value theory (0903) [practice, FRM: market] 26 Mar 2009
Explore Market Risk with a practice question. Question #1 [source 2006 #62] Many financial applications are concerned only with extreme values of returns or exceptional losses … read more
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Beta hedge an equity portfolio with futures contracts [Practice, FRM: Market] 27 Feb 2009
Explore Market Risk with a practice question. Consider an equity portfolio with market value of USD 100M and a beta of 1.4 with respect to the … read more
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First derivative of a zero-coupon bond, 8 min [Video, FRM: Market] 26 Feb 2009
Here I use Mathetmatica to illustrate how the first derivative of the price of a zero-coupon bond (with respect to yield) is the dollar duration of … read more
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FRM 2008 Episode #6: Market C (VaR, Fx, CFaR) 02 Jun 2008
In this issue Note about learning spreadsheets About Episode #6 New spreadsheets added Screencast Tutorial Questions associated with the tutorial Previous Episode letters Note about … read more
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FRM 2008 Episode #5: Market B (Fixed Income) 19 May 2008
In this issue: Don't forget to visit the forum New payment option About Episode #5 New spreadsheets added Screencast Tutorial Questions associated with the tutorial … read more
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FRM 2008 (regular season) Episode #4: Market A 05 May 2008
About Episode #4 New spreadsheets added Screencast Tutorial Questions associated with the tutorial About Episode #4 Welcome recent members! Please note I write a … read more
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- David , great stuff , thanks for helping me pass FRM Full exam Nov 2009 , your website is so compelling that even now I keenly … 08 Mar 2010
- You are a recent graduate working with a large financial consulting firm as part of their graduate program. You have spent the previous couple of weeks … 07 Mar 2010
- Great job! Thank you very much! 01 Mar 2010
- Hi David, I am too late for May 2010. Since I would not get much time to study, I was wondering if I can buy the …10 Mar 2010
- Hi David Your Summaries of the material explain very well the material for the exam but i cant Wondered is it Enough ? Do you recommend …10 Mar 2010
- Question: A risk analyst seeks to find out the credit-linked yield spread on a BB-rated, 2-year zero coupon bond issued by a multinational petroleum company. If …10 Mar 2010