# Errata (eg, FRM Handbook) or Key Exam Issue

Sort By:
Title
Replies Views
Last Message ↓
1. ### EXAMPLE 17.4: RISKS IN FIXED-INCOME ARBITRAGE

David, I'm bit puzzled with the answer here. According to the answer the swap spread cannot go below zero (as the TSY has less credit risk), but over the last couple of year we've seen several times the swap spread (usually for the long dated maturities) goes negative. Can you please clarify the answer? Thanks Harel/
David, I'm bit puzzled with the answer here. According to the answer the swap spread cannot go below zero (as the TSY has less credit risk), but over the last couple of year we've seen several times the swap spread (usually for the long dated maturities) goes negative. Can you please clarify the answer? Thanks Harel/
David, I'm bit puzzled with the answer here. According to the answer the swap spread cannot go below zero (as the TSY has less credit risk), but over the last couple of year we've seen several times the swap spread (usually for the long dated maturities) goes negative. Can you please clarify...
David, I'm bit puzzled with the answer here. According to the answer the swap spread cannot go below zero (as the TSY has less credit risk), but over the last couple of year we've seen several...
Replies:
1
Views:
20
2. ### 2011 GARP Practice Exam L2 E1 Q11 & L2 E2 Q12

David, My pleasure to contribute and give back just a little. Best Roman
David, My pleasure to contribute and give back just a little. Best Roman
David, My pleasure to contribute and give back just a little. Best Roman
David, My pleasure to contribute and give back just a little. Best Roman
Replies:
2
Views:
46
3. ### 2011 Practice Exam

Because they rushed it out (it should refer to S&W). However, in my opinion, it is of no practical significance as the 2011 T2.econometric AIMs are identical (with 2 or 3 exceptions which frankly won't manifest on the exam) to 2010 T2.econometric AIMS. The Stock & Watson is a subset of Gujarati and a 95%+ topical (testable) overlap. This is the reason I did not restart my daily...
Because they rushed it out (it should refer to S&W). However, in my opinion, it is of no practical significance as the 2011 T2.econometric AIMs are identical (with 2 or 3 exceptions which frankly won't manifest on the exam) to 2010 T2.econometric AIMS. The Stock & Watson is a subset of Gujarati and a 95%+ topical (testable) overlap. This is the reason I did not restart my daily...
Because they rushed it out (it should refer to S&W). However, in my opinion, it is of no practical significance as the 2011 T2.econometric AIMs are identical (with 2 or 3 exceptions which frankly won't manifest on the exam) to 2010 T2.econometric AIMS. The Stock & Watson is a subset of...
Because they rushed it out (it should refer to S&W). However, in my opinion, it is of no practical significance as the 2011 T2.econometric AIMs are identical (with 2 or 3 exceptions which...
Replies:
1
Views:
76
4. ### 2011PracticeExamL1,E2,#17.I always confused with questions like this ,awaiting your response

yzjqc, Do you have the solution manual of Hull's exercise? I went through the exercises which David did not cover, and some of them I could not solve. Will be grt if you hv the solution manual since i lost the disc. tnx in adv, Alan .(JavaScript must be enabled to view this email address)
yzjqc, Do you have the solution manual of Hull's exercise? I went through the exercises which David did not cover, and some of them I could not solve. Will be grt if you hv the solution manual since i lost the disc. tnx in adv, Alan .(JavaScript must be enabled to view this email address)
yzjqc, Do you have the solution manual of Hull's exercise? I went through the exercises which David did not cover, and some of them I could not solve. Will be grt if you hv the solution manual since i lost the disc. tnx in adv, Alan .(JavaScript must be enabled to view this email address)
yzjqc, Do you have the solution manual of Hull's exercise? I went through the exercises which David did not cover, and some of them I could not solve. Will be grt if you hv the solution...
Replies:
6
Views:
106
5. ### 2010 Practice Exam /partI page 44 question 25,pleast ,I need your help.

yzjqc: glad to help where we can, thanks! David
yzjqc: glad to help where we can, thanks! David
yzjqc: glad to help where we can, thanks! David
yzjqc: glad to help where we can, thanks! David
Replies:
5
Views:
70
6. ### frm handbook 6ed p476.EXAMPLE20.4,I could not understand this question?need your help

Hi yzjqc, Ba3 is equivalent to BB- (Ba2 = BB). See http://en.wikipedia.org/wiki/Credit_rating Thanks, David David: I get it. thank you david.
Hi yzjqc, Ba3 is equivalent to BB- (Ba2 = BB). See http://en.wikipedia.org/wiki/Credit_rating Thanks, David David: I get it. thank you david.
Hi yzjqc, Ba3 is equivalent to BB- (Ba2 = BB). See http://en.wikipedia.org/wiki/Credit_rating Thanks, David David: I get it. thank you david.
Hi yzjqc, Ba3 is equivalent to BB- (Ba2 = BB). See http://en.wikipedia.org/wiki/Credit_rating Thanks, David David: I get it. thank you david.
Replies:
2
Views:
49
7. ### 2011 Practice Exam - Part I - Question 5

Thank you very much Alan !! It's clear now Good luck with your exam! Najwa
Thank you very much Alan !! It's clear now Good luck with your exam! Najwa
Thank you very much Alan !! It's clear now Good luck with your exam! Najwa
Thank you very much Alan !! It's clear now Good luck with your exam! Najwa
Replies:
2
Views:
59
8. ### Garp practice exam 1, # 6

HI David, Would you kindly elaborate on the formulare that is used in this question? In the covarience matrix, the diagnal line is the varience? There is a similar question in exam 2, that is easier than this. Would appreciate your help. tx. s _____________________________________________________________________________ Saray, You are right. the diagonals are variance....
HI David, Would you kindly elaborate on the formulare that is used in this question? In the covarience matrix, the diagnal line is the varience? There is a similar question in exam 2, that is easier than this. Would appreciate your help. tx. s _____________________________________________________________________________ Saray, You are right. the diagonals are variance....
HI David, Would you kindly elaborate on the formulare that is used in this question? In the covarience matrix, the diagnal line is the varience? There is a similar question in exam 2, that is easier than this. Would appreciate your help. tx. s ...
HI David, Would you kindly elaborate on the formulare that is used in this question? In the covarience matrix, the diagnal line is the varience? There is a similar question in exam 2, that...
Replies:
1
Views:
44
9. ### FRM hand book 6ed.PAGE237,EXAMPLE10.4,arethere problems in this question?

You're not wrong - there's a typo in Jorion's version of the question. See the 2011 Practice Exam Part 1 Q15 thx a lot
You're not wrong - there's a typo in Jorion's version of the question. See the 2011 Practice Exam Part 1 Q15 thx a lot
You're not wrong - there's a typo in Jorion's version of the question. See the 2011 Practice Exam Part 1 Q15 thx a lot
You're not wrong - there's a typo in Jorion's version of the question. See the 2011 Practice Exam Part 1 Q15 thx a lot
Replies:
2
Views:
54
10. ### 2011 Practice Part I Exam 1 #17 (simple question)

Got it. thanks a lot. in part 2 question 19 resembles the pattern.
Got it. thanks a lot. in part 2 question 19 resembles the pattern.
Got it. thanks a lot. in part 2 question 19 resembles the pattern.
Got it. thanks a lot. in part 2 question 19 resembles the pattern.
Replies:
2
Views:
63
11. ### Convexity adjustment & AR Scaling Factor Formulae

Hi Murehwa, Good catches. In regard to the convexity measure, I am not exactly consistent, but please note: the convexity adjustment is the same because, where the "measure" omits the 2 in the denominator in the presentation, then the 1/2 is multiplied in the adjustment (the adjustment is the useful metric, I am pretty sure Fabozzi--who is not assigned but i used here b/c i thought is was...
Hi Murehwa, Good catches. In regard to the convexity measure, I am not exactly consistent, but please note: the convexity adjustment is the same because, where the "measure" omits the 2 in the denominator in the presentation, then the 1/2 is multiplied in the adjustment (the adjustment is the useful metric, I am pretty sure Fabozzi--who is not assigned but i used here b/c i thought is was...
Hi Murehwa, Good catches. In regard to the convexity measure, I am not exactly consistent, but please note: the convexity adjustment is the same because, where the "measure" omits the 2 in the denominator in the presentation, then the 1/2 is multiplied in the adjustment (the adjustment is the...
Hi Murehwa, Good catches. In regard to the convexity measure, I am not exactly consistent, but please note: the convexity adjustment is the same because, where the "measure" omits the 2 in the...
Replies:
1
Views:
45
12. ### SSR clarification

Hi Theresa, Okay, I got your original email. I totally understand the apparent confusion. I would have preferred to keep the terminology from Gujarati: ESS (explained sum) + RSS (residual sum) = TSS (total sum) but GARP switched to Stock & Watson ESS (explained sum) + SSR (sum of squared residual) = TSS (total sum) Thanks, David
Hi Theresa, Okay, I got your original email. I totally understand the apparent confusion. I would have preferred to keep the terminology from Gujarati: ESS (explained sum) + RSS (residual sum) = TSS (total sum) but GARP switched to Stock & Watson ESS (explained sum) + SSR (sum of squared residual) = TSS (total sum) Thanks, David
Hi Theresa, Okay, I got your original email. I totally understand the apparent confusion. I would have preferred to keep the terminology from Gujarati: ESS (explained sum) + RSS (residual sum) = TSS (total sum) but GARP switched to Stock & Watson ESS (explained sum) + SSR (sum of...
Hi Theresa, Okay, I got your original email. I totally understand the apparent confusion. I would have preferred to keep the terminology from Gujarati: ESS (explained sum) + RSS (residual...
Replies:
1
Views:
61
13. ### Regaridng the 2011 practice paper of GARP level II

Hi suraj, They intend the answer to be (a), $0 million, on the theory that during the entire lockout (and therefore true at 14 months) none of those liability tranches have been paid down to any extent; i.e.,$0 principal paid to all of the five tranches, or put another way, assuming no defaults (not indicated in the question), the principal values would be unchanged at the 14 month. ......
Hi suraj, They intend the answer to be (a), $0 million, on the theory that during the entire lockout (and therefore true at 14 months) none of those liability tranches have been paid down to any extent; i.e.,$0 principal paid to all of the five tranches, or put another way, assuming no defaults (not indicated in the question), the principal values would be unchanged at the 14 month. ......
Hi suraj, They intend the answer to be (a), $0 million, on the theory that during the entire lockout (and therefore true at 14 months) none of those liability tranches have been paid down to any extent; i.e.,$0 principal paid to all of the five tranches, or put another way, assuming no...
Question: What would be the market risk capital requirement for a bank with an average one-day VAR of $100 and a specific risk surcharge of$30, based on the current BIS minimum capital requirements? a. $300 b.$316 c. $949 d.$979 Answer: d) The total MRC is 3 × $100 × √10 +$30 = $949 +$30 = $979. Question: What would be the market risk capital requirement for a bank with an average one-day VAR of$100 and a specific risk surcharge of $30, based on the current BIS minimum capital requirements? a.$300 b. $316 c.$949 d. $979 Answer: d) The total MRC is 3 ×$100 × √10 + $30 =... Question: What would be the market risk capital requirement for a bank with an average one-day VAR of$100 and a specific risk surcharge of $30, based on the current BIS minimum capital... Replies: 0 Views: 3 29. ### EXAMPLE 31.5: FRM EXAM 1999—QUESTION 184 Question: You are given that the RiskMetrics VAR for a portfolio is$1,000,000. What is the approximate Basel Committee VAR? a. $4,450,000 b.$225,000 c. $1,000,000 d.$1,412,121 Answer: a) Assuming normally and independently distributed returns, the RM VAR needs to be adjusted from 95% to 99% confidence and from 1 day to 10 days. This gives $1,000,000 × (2.326/1.645) × √10 =$4.5...
Question: You are given that the RiskMetrics VAR for a portfolio is $1,000,000. What is the approximate Basel Committee VAR? a.$4,450,000 b. $225,000 c.$1,000,000 d. $1,412,121 Answer: a) Assuming normally and independently distributed returns, the RM VAR needs to be adjusted from 95% to 99% confidence and from 1 day to 10 days. This gives$1,000,000 × (2.326/1.645) × √10 = $4.5... Question: You are given that the RiskMetrics VAR for a portfolio is$1,000,000. What is the approximate Basel Committee VAR? a. $4,450,000 b.$225,000 c. $1,000,000 d.$1,412,121 Answer: a) Assuming normally and independently distributed returns, the RM VAR needs to be adjusted from...
Question: You are given that the RiskMetrics VAR for a portfolio is $1,000,000. What is the approximate Basel Committee VAR? a.$4,450,000 b. $225,000 c.$1,000,000 d. \$1,412,121 Answer:...
Replies:
0
Views:
3
30. ### EXAMPLE 31.4: FRM EXAM 2001—QUESTION 42

Question: Which of the following best describes the quantitative parameters of the internal models approach? a. 10-day trading horizon, 99% confidence interval, minimum one years of data, minimum quarterly updates b. 1-day trading horizon, 95% confidence interval, five years of data, updated weekly c. 1-day trading horizon, 99% confidence interval, minimum one years of data, updated...
Question: Which of the following best describes the quantitative parameters of the internal models approach? a. 10-day trading horizon, 99% confidence interval, minimum one years of data, minimum quarterly updates b. 1-day trading horizon, 95% confidence interval, five years of data, updated weekly c. 1-day trading horizon, 99% confidence interval, minimum one years of data, updated...
Question: Which of the following best describes the quantitative parameters of the internal models approach? a. 10-day trading horizon, 99% confidence interval, minimum one years of data, minimum quarterly updates b. 1-day trading horizon, 95% confidence interval, five years of data,...
Question: Which of the following best describes the quantitative parameters of the internal models approach? a. 10-day trading horizon, 99% confidence interval, minimum one years of data,...
Replies:
0
Views:
1