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Financial Risk Manager (FRM). Free resource
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P2.T5. Market Risk (25%)
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Errors Found in 2021 Study Materials P2.T5. Market Risk
Nicole Seaman
Jan 22, 2021
Replies
2
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98
Feb 17, 2021
blackbread
B
G
VaR is not subadditivity, yet there is formula for diversified VaR?
Guannn
Feb 17, 2021
Replies
2
Views
41
Feb 17, 2021
Guannn
G
J
Calculation of Tail VaR in ES and Normal Deviate in Spectral Measure
julienfrancaoui
Feb 10, 2021
Replies
1
Views
60
Feb 15, 2021
David Harper CFA FRM
R
Short Equity T + long Mezzannine T (correlation impact?)
rajeshtr
Feb 16, 2017
Replies
8
Views
5K
Feb 2, 2021
yzhang
Y
Locked
Errors Found in Study Materials P2.T5. Market Risk (OLD thread)
Nicole Seaman
Aug 5, 2015
3
4
5
Replies
98
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24K
Jan 22, 2021
Nicole Seaman
T
Mapping VaR
thanhtam92
Jan 14, 2021
Replies
1
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95
Jan 14, 2021
David Harper CFA FRM
P
Evolution of short term rates
Puneeta
Nov 20, 2020
Replies
1
Views
307
Nov 20, 2020
David Harper CFA FRM
M
Backtesting VaR Calculations
monsieuruzairo3
Sep 28, 2014
Replies
4
Views
3K
Oct 23, 2020
siddharthmahanty
S
S
Key Rate
sipanivishal
Jun 17, 2008
Replies
10
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1K
Oct 21, 2020
dtammerz
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P
OAS spread
ps_ricky_son
Jul 14, 2019
Replies
9
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724
Sep 28, 2020
Headfield
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F
Dv01 for interest rate swap
frm2008
Sep 11, 2008
Replies
2
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18K
Aug 27, 2020
msoler96
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I
Evolution of short term interest rates (Construction of Tree in case of upward sloping curve)
imran88
Aug 22, 2020
Replies
0
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121
Aug 22, 2020
imran88
I
R
Delta of Short EUR Call Option
rahul.goyl
Sep 3, 2009
Replies
8
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2K
Aug 17, 2020
Nicole Seaman
M
Black-Scholes the cumulative normal distribution function parameters d1 and d2.
Mwgmwg
Mar 3, 2008
Replies
13
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10K
Aug 13, 2020
San955
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Market risk internal model input in capital adequacy ratio
delalma
Jul 11, 2020
Replies
0
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139
Jul 11, 2020
delalma
D
K
L2.T5.43 Multi-period binomial interest rate tree (Tuckman)
kausthub
May 11, 2020
Replies
5
Views
289
May 11, 2020
David Harper CFA FRM
A
P2.T5. Jorion - VAR mapping - currency futures - Practice question number 19 on page 57
Amns233
Apr 24, 2020
Replies
4
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323
Apr 27, 2020
Nicole Seaman
M
Calculating Expected Shortfall
MG250
May 4, 2017
2
Replies
22
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23K
Mar 9, 2020
David Harper CFA FRM
J
DV01 neutral hedge
Jose V
Feb 18, 2020
Replies
2
Views
372
Feb 25, 2020
Jose V
J
J
Bivariate gaussian copula
Jose V
Feb 16, 2020
Replies
2
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212
Feb 18, 2020
Jose V
J
P
jorion chapter 11 mapping var
Pflik
Apr 13, 2014
2
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34
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6K
Feb 17, 2020
txiong
T
P
Risk neutral Probability calculation - Three step process
PJAYAKUMAR
Feb 15, 2020
Replies
0
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284
Feb 15, 2020
PJAYAKUMAR
P
V
Kurtosis with stochastic volatility
vasvet
Jan 26, 2020
Replies
0
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210
Jan 26, 2020
vasvet
V
V
Kurtosis empirical evidence
vasvet
Jan 24, 2020
Replies
0
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150
Jan 24, 2020
vasvet
V
S
Vasicek model recombining tree
SalinaMiao
Jul 27, 2018
Replies
3
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1K
Jan 19, 2020
Rohit
S
P.2 T5 Dowd study notes pg 10 confidence intervals
Stella G
Feb 3, 2018
Replies
10
Views
1K
Jan 19, 2020
txiong
T
S
Is Variance monotonious
sapozan
Jan 14, 2020
Replies
12
Views
931
Jan 16, 2020
David Harper CFA FRM
D
Var% in currency forward VaR
delalma
Jan 16, 2020
Replies
0
Views
398
Jan 16, 2020
delalma
D
V
Logistic Distribution
vasvet
Jan 14, 2020
Replies
6
Views
337
Jan 15, 2020
sapozan
S
S
[VaR Mapping] Cash-Flow Mapping
silver7
Feb 20, 2018
Replies
13
Views
2K
Jan 13, 2020
David Harper CFA FRM
S
Var of a loss
sapozan
Jan 12, 2020
Replies
6
Views
346
Jan 12, 2020
sapozan
S
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