Today's Daily Questions

David writes totally fresh, totally original practice (quiz) questions every week: a fresh set of three (4) from Mon to Thursday = 12 new practice questions per week. A few hungry customers like to follow along, so we post them here.

Paid members please note: you do not need to collect practice questions one at a time! After a chapter (or section of related chapters) is finished, Nicole collects them into a single PDF file and uploads to the Study Planner. Most paid members will want to go straight to the study planner (unless you want to discuss/etc in the forum). Thank you!

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  1. Nicole Seaman

    P1.T1.704. Bodie's multifactor models

    Learning objectives: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Questions 704.1. Suppose that three factors have been identified for the U.S. economy: Expected inflation rate (IR) is +2.00% Expected 10-year Treasury yield (T-NOTE) is 2.40% Expected growth in productivity (PROD)...
    Learning objectives: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Questions 704.1. Suppose that three factors have been identified for the U.S. economy: Expected inflation rate (IR) is +2.00% Expected 10-year Treasury yield (T-NOTE) is 2.40% Expected growth in productivity (PROD)...
    Learning objectives: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Questions 704.1. Suppose that three factors have been identified for the U.S. economy: Expected inflation rate...
    Learning objectives: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor...
    Replies:
    0
    Views:
    94
  2. Nicole Seaman

    P2.T6.703 Structural versus Reduced-form credit risk approaches (DeLaurentis)

    Learning outcomes: Describe rating agencies’ assignment methodologies for issue and issuer ratings. Describe the relationship between borrower rating and probability of default. Compare agencies’ ratings to internal experts-based rating systems. Distinguish between the structural approaches and the reduced-form approaches to predicting default. Questions: 703.1. De Laurentis explains the...
    Learning outcomes: Describe rating agencies’ assignment methodologies for issue and issuer ratings. Describe the relationship between borrower rating and probability of default. Compare agencies’ ratings to internal experts-based rating systems. Distinguish between the structural approaches and the reduced-form approaches to predicting default. Questions: 703.1. De Laurentis explains the...
    Learning outcomes: Describe rating agencies’ assignment methodologies for issue and issuer ratings. Describe the relationship between borrower rating and probability of default. Compare agencies’ ratings to internal experts-based rating systems. Distinguish between the structural approaches and...
    Learning outcomes: Describe rating agencies’ assignment methodologies for issue and issuer ratings. Describe the relationship between borrower rating and probability of default. Compare agencies’...
    Replies:
    0
    Views:
    155
  3. Nicole Seaman

    P1.T1.703. Policy responses and real effects of global financial crisis (Gorton)

    Learning objectives: Describe the historical background leading to the recent financial crisis. Distinguish between the two main panic periods of the financial crisis and describe the state of the markets during each. Assess the governmental policy responses to the financial crisis and review their short-term impact. Describe the global effects of the financial crisis on firms and the real...
    Learning objectives: Describe the historical background leading to the recent financial crisis. Distinguish between the two main panic periods of the financial crisis and describe the state of the markets during each. Assess the governmental policy responses to the financial crisis and review their short-term impact. Describe the global effects of the financial crisis on firms and the real...
    Learning objectives: Describe the historical background leading to the recent financial crisis. Distinguish between the two main panic periods of the financial crisis and describe the state of the markets during each. Assess the governmental policy responses to the financial crisis and review...
    Learning objectives: Describe the historical background leading to the recent financial crisis. Distinguish between the two main panic periods of the financial crisis and describe the state of the...
    Replies:
    0
    Views:
    80
  4. Nicole Seaman

    P2.T6.702. Credit rating assignment methodologies (De Laurentis)

    Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a rating migration matrix and calculate the probability of default, cumulative probability of default, marginal probability of default, and annualized default rate. Questions: 702.1. Assume the...
    Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a rating migration matrix and calculate the probability of default, cumulative probability of default, marginal probability of default, and annualized default rate. Questions: 702.1. Assume the...
    Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a rating migration matrix and calculate the probability of default, cumulative probability of default,...
    Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a...
    Replies:
    0
    Views:
    195
  5. Nicole Seaman

    P1.T1.700. Key factors that led to the housing bubble (Brunnermeier)

    Hello @kkunderp The reason that the answers are only available to our paid customers is because all of the daily practice questions are part of our PAID study packages, as they are compiled into practice question sets for our customers. We post them in the forum so our paid customers can gain more insight with the in-depth and detailed answers that David provides for each question, and so...
    Hello @kkunderp The reason that the answers are only available to our paid customers is because all of the daily practice questions are part of our PAID study packages, as they are compiled into practice question sets for our customers. We post them in the forum so our paid customers can gain more insight with the in-depth and detailed answers that David provides for each question, and so...
    Hello @kkunderp The reason that the answers are only available to our paid customers is because all of the daily practice questions are part of our PAID study packages, as they are compiled into practice question sets for our customers. We post them in the forum so our paid customers can gain...
    Hello @kkunderp The reason that the answers are only available to our paid customers is because all of the daily practice questions are part of our PAID study packages, as they are compiled into...
    Replies:
    6
    Views:
    268
  6. Nicole Seaman

    P1.T1.702. Getting up to Speed on the Financial Crisis (Gorton)

    Learning objectives: Distinguish between triggers and vulnerabilities that led to the financial crisis and their contributions to the crisis. Describe the main vulnerabilities of short-term debt especially repo agreements and commercial paper. Assess the consequences of the Lehman failure on the global financial markets. Questions: 702.1. According to Ben Bernanke, among the following...
    Learning objectives: Distinguish between triggers and vulnerabilities that led to the financial crisis and their contributions to the crisis. Describe the main vulnerabilities of short-term debt especially repo agreements and commercial paper. Assess the consequences of the Lehman failure on the global financial markets. Questions: 702.1. According to Ben Bernanke, among the following...
    Learning objectives: Distinguish between triggers and vulnerabilities that led to the financial crisis and their contributions to the crisis. Describe the main vulnerabilities of short-term debt especially repo agreements and commercial paper. Assess the consequences of the Lehman failure on the...
    Learning objectives: Distinguish between triggers and vulnerabilities that led to the financial crisis and their contributions to the crisis. Describe the main vulnerabilities of short-term debt...
    Replies:
    0
    Views:
    136
  7. Nicole Seaman

    P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)

    For those following along, this question is associated with the new reading (to 2017 FRM) in Topic 6: "Classifications and key concepts of credit risk" (Chapter 2) of Developing, Validating and Using Internal Ratings by Giacomo De Laurentis et al. In the answer to 701.3, I reconcile this (De Laurentis') RARORAC with Crouhy's RAROC. But candidly, this new De Laurentis Chapter 2 is not strong...
    For those following along, this question is associated with the new reading (to 2017 FRM) in Topic 6: "Classifications and key concepts of credit risk" (Chapter 2) of Developing, Validating and Using Internal Ratings by Giacomo De Laurentis et al. In the answer to 701.3, I reconcile this (De Laurentis') RARORAC with Crouhy's RAROC. But candidly, this new De Laurentis Chapter 2 is not strong...
    For those following along, this question is associated with the new reading (to 2017 FRM) in Topic 6: "Classifications and key concepts of credit risk" (Chapter 2) of Developing, Validating and Using Internal Ratings by Giacomo De Laurentis et al. In the answer to 701.3, I reconcile this (De...
    For those following along, this question is associated with the new reading (to 2017 FRM) in Topic 6: "Classifications and key concepts of credit risk" (Chapter 2) of Developing, Validating and...
    Replies:
    1
    Views:
    218
  8. Nicole Seaman

    P1.T1.701. Amplifying mechanism and recurring themes in the global financial crisis (Brunnermeier)

    Hi @emilioalzamora1 Ah, thank you! This is such a great link to Bill May explaining the practitioner-oriented methodology; eg, reaching out to FRM is practitioner-first. @Nicole Seaman at the upcoming webinar, can you ask GARP whether this Exam Development method has changed any way? I am including Emilio's link here (did you know you can link to a specific time by appending #t=01m25s)....
    Hi @emilioalzamora1 Ah, thank you! This is such a great link to Bill May explaining the practitioner-oriented methodology; eg, reaching out to FRM is practitioner-first. @Nicole Seaman at the upcoming webinar, can you ask GARP whether this Exam Development method has changed any way? I am including Emilio's link here (did you know you can link to a specific time by appending #t=01m25s)....
    Hi @emilioalzamora1 Ah, thank you! This is such a great link to Bill May explaining the practitioner-oriented methodology; eg, reaching out to FRM is practitioner-first. @Nicole Seaman at the upcoming webinar, can you ask GARP whether this Exam Development method has changed any way? I am...
    Hi @emilioalzamora1 Ah, thank you! This is such a great link to Bill May explaining the practitioner-oriented methodology; eg, reaching out to FRM is practitioner-first. @Nicole Seaman at the...
    Replies:
    3
    Views:
    222
  9. Nicole Seaman

    P2.T6.700. Credit risk classifications (De Laurentis)

    Learning objectives: Describe the role of ratings in credit risk management. Describe classifications of credit risk and their correlation with other financial risks. Define default risk, recovery risk, exposure risk and calculate exposure at default. Questions: 700.1. In contrasting approaches to credit risk, De Laurentis distinguishes between default-mode and value-based valuation. A...
    Learning objectives: Describe the role of ratings in credit risk management. Describe classifications of credit risk and their correlation with other financial risks. Define default risk, recovery risk, exposure risk and calculate exposure at default. Questions: 700.1. In contrasting approaches to credit risk, De Laurentis distinguishes between default-mode and value-based valuation. A...
    Learning objectives: Describe the role of ratings in credit risk management. Describe classifications of credit risk and their correlation with other financial risks. Define default risk, recovery risk, exposure risk and calculate exposure at default. Questions: 700.1. In contrasting...
    Learning objectives: Describe the role of ratings in credit risk management. Describe classifications of credit risk and their correlation with other financial risks. Define default risk, recovery...
    Replies:
    0
    Views:
    155
  10. Nicole Seaman

    P2.T8.404. Information ratio, M-squared and the significance of performance

    Hi All, I would like to add a couple of bullet points to the theory about the Information Ratio (IR) for a better understanding. 1.) In certain cases (in certain articles) alpha is defined as 'Tracking difference' which is the simple difference between the return generated by the manager and the benchmark return while 'Tracking Error' is the standard deviation over all these...
    Hi All, I would like to add a couple of bullet points to the theory about the Information Ratio (IR) for a better understanding. 1.) In certain cases (in certain articles) alpha is defined as 'Tracking difference' which is the simple difference between the return generated by the manager and the benchmark return while 'Tracking Error' is the standard deviation over all these...
    Hi All, I would like to add a couple of bullet points to the theory about the Information Ratio (IR) for a better understanding. 1.) In certain cases (in certain articles) alpha is defined as 'Tracking difference' which is the simple difference between the return generated by the manager and...
    Hi All, I would like to add a couple of bullet points to the theory about the Information Ratio (IR) for a better understanding. 1.) In certain cases (in certain articles) alpha is defined as...
    Replies:
    6
    Views:
    1,138
  11. David Harper CFA FRM

    P1.T4.26. Unexpected loss (UL), Ong

    Thanks a million !
    Thanks a million !
    Thanks a million !
    Thanks a million !
    Replies:
    8
    Views:
    1,818
  12. Fran

    P2.T6.304. Single-factor credit risk model

    Hi @emilioalzamora1 I love it, agreed! I just wanted to highlight how this single-factor model is designed to produce a standard random normal variable that happens to have a correlated-to-common-factor component. If we want to generate a random standard normal, e2' ~N(0,1), that is correlated to another random standard normal, e1 ~ N(0,1), per Jorion (among other sources) we transform: e2' =...
    Hi @emilioalzamora1 I love it, agreed! I just wanted to highlight how this single-factor model is designed to produce a standard random normal variable that happens to have a correlated-to-common-factor component. If we want to generate a random standard normal, e2' ~N(0,1), that is correlated to another random standard normal, e1 ~ N(0,1), per Jorion (among other sources) we transform: e2' =...
    Hi @emilioalzamora1 I love it, agreed! I just wanted to highlight how this single-factor model is designed to produce a standard random normal variable that happens to have a correlated-to-common-factor component. If we want to generate a random standard normal, e2' ~N(0,1), that is correlated...
    Hi @emilioalzamora1 I love it, agreed! I just wanted to highlight how this single-factor model is designed to produce a standard random normal variable that happens to have a...
    Replies:
    11
    Views:
    4,990
  13. Nicole Seaman

    P1.T3.414. Mortgages and Mortgage-backed Securities (MBS, Basics)

    Hello @Sweta1317 The answers to the daily practice questions are for paid members only, who have purchased a study package. This is because these questions are part of our paid practice question sets. You can view all of our study packages here: . :) Thank you, Nicole
    Hello @Sweta1317 The answers to the daily practice questions are for paid members only, who have purchased a study package. This is because these questions are part of our paid practice question sets. You can view all of our study packages here: . :) Thank you, Nicole
    Hello @Sweta1317 The answers to the daily practice questions are for paid members only, who have purchased a study package. This is because these questions are part of our paid practice question sets. You can view all of our study packages here: . :) Thank you, Nicole
    Hello @Sweta1317 The answers to the daily practice questions are for paid members only, who have purchased a study package. This is because these questions are part of our paid practice question...
    Replies:
    6
    Views:
    1,174
  14. Nicole Seaman

    P2.T7.607. Adjusted RAROC and RAROC in practice (Crouhy)

    Hello @Olive Xu The answers to the daily questions are only available to paid members who have purchased a study package. This is because our daily practice questions are part of our paid practice question sets. You can view our study packages here: . :) Thank you, Nicole
    Hello @Olive Xu The answers to the daily questions are only available to paid members who have purchased a study package. This is because our daily practice questions are part of our paid practice question sets. You can view our study packages here: . :) Thank you, Nicole
    Hello @Olive Xu The answers to the daily questions are only available to paid members who have purchased a study package. This is because our daily practice questions are part of our paid practice question sets. You can view our study packages here: . :) Thank you, Nicole
    Hello @Olive Xu The answers to the daily questions are only available to paid members who have purchased a study package. This is because our daily practice questions are part of our paid...
    Replies:
    2
    Views:
    451
  15. Nicole Seaman

    P2.T9.608. National Institute of Standards and Technology's (NIST's) Cybersecuritiy framework

    Hello @shettynipun Thank you for visiting our forum! The answers to all of the daily practice questions are available to paid members only, as these questions are part of our study packages. You can view all of our study packages here: . Feel free to email me with any questions at Thank you, Nicole
    Hello @shettynipun Thank you for visiting our forum! The answers to all of the daily practice questions are available to paid members only, as these questions are part of our study packages. You can view all of our study packages here: . Feel free to email me with any questions at Thank you, Nicole
    Hello @shettynipun Thank you for visiting our forum! The answers to all of the daily practice questions are available to paid members only, as these questions are part of our study packages. You can view all of our study packages here: . Feel free to email me with any questions at Thank...
    Hello @shettynipun Thank you for visiting our forum! The answers to all of the daily practice questions are available to paid members only, as these questions are part of our study packages. You...
    Replies:
    2
    Views:
    337
  16. Nicole Seaman

    P1.T1.611. Arbitrage pricing theory (APT) (Topic Review)

    611.1 Need to find beta=tangens x=(E(r)-Rf)/Betta and then look Which of dont exists the same line find it and if it above buy it and sell the combination of others if it lower buy combination sell it .
    611.1 Need to find beta=tangens x=(E(r)-Rf)/Betta and then look Which of dont exists the same line find it and if it above buy it and sell the combination of others if it lower buy combination sell it .
    611.1 Need to find beta=tangens x=(E(r)-Rf)/Betta and then look Which of dont exists the same line find it and if it above buy it and sell the combination of others if it lower buy combination sell it .
    611.1 Need to find beta=tangens x=(E(r)-Rf)/Betta and then look Which of dont exists the same line find it and if it above buy it and sell the combination of others if it lower buy combination...
    Replies:
    6
    Views:
    1,198
  17. Nicole Seaman

    P1.T3.502. Dollar roll (Tuckman)

    Hi @Angelinelyt My questions models Tuckman's own example, so I copied below his example (emphasis mine to highlight the parallel assumption). Please note that the coupon is 6.0% per annum such that the monthly coupon is 6.0%/12 per month. But we don't accrue a full month, we are only accruing 9 days out of a 30-day month (assumed), so we want (9/30) of the monthly coupon, which is...
    Hi @Angelinelyt My questions models Tuckman's own example, so I copied below his example (emphasis mine to highlight the parallel assumption). Please note that the coupon is 6.0% per annum such that the monthly coupon is 6.0%/12 per month. But we don't accrue a full month, we are only accruing 9 days out of a 30-day month (assumed), so we want (9/30) of the monthly coupon, which is...
    Hi @Angelinelyt My questions models Tuckman's own example, so I copied below his example (emphasis mine to highlight the parallel assumption). Please note that the coupon is 6.0% per annum such that the monthly coupon is 6.0%/12 per month. But we don't accrue a full month, we are only accruing 9...
    Hi @Angelinelyt My questions models Tuckman's own example, so I copied below his example (emphasis mine to highlight the parallel assumption). Please note that the coupon is 6.0% per annum such...
    Replies:
    7
    Views:
    1,311
  18. Nicole Seaman

    P2.T9.607. Comprehensive Capital Analysis and Review (CCAR) and stress testing convergence(Gallardo)

    Learning objectives: Explain how trends in stress testing and capital management have evolved from the 2009 SCAP to the 2015 CCAR. Compare trends in capital management approaches by different classes of CCAR institutions from 2012 to 2015, and explain the motivations for each class of institutions to adopt their approach. Identify and describe factors that have encouraged banks to manage...
    Learning objectives: Explain how trends in stress testing and capital management have evolved from the 2009 SCAP to the 2015 CCAR. Compare trends in capital management approaches by different classes of CCAR institutions from 2012 to 2015, and explain the motivations for each class of institutions to adopt their approach. Identify and describe factors that have encouraged banks to manage...
    Learning objectives: Explain how trends in stress testing and capital management have evolved from the 2009 SCAP to the 2015 CCAR. Compare trends in capital management approaches by different classes of CCAR institutions from 2012 to 2015, and explain the motivations for each class of...
    Learning objectives: Explain how trends in stress testing and capital management have evolved from the 2009 SCAP to the 2015 CCAR. Compare trends in capital management approaches by different...
    Replies:
    0
    Views:
    288
  19. Nicole Seaman

    P2.T9.606. Central Counterparties: Are they too important to fail (TITF)?

    Learning objectives: Describe the benefits of central counterparties (CCPs) and the potential risks which can arise when clearing through a CCP. Explain the interconnections between central counterparties and other financial institutions, including banks, clearing members, financial markets, and other CCPs. Explain how the failure of a CCP can spread systemic risk to other financial markets or...
    Learning objectives: Describe the benefits of central counterparties (CCPs) and the potential risks which can arise when clearing through a CCP. Explain the interconnections between central counterparties and other financial institutions, including banks, clearing members, financial markets, and other CCPs. Explain how the failure of a CCP can spread systemic risk to other financial markets or...
    Learning objectives: Describe the benefits of central counterparties (CCPs) and the potential risks which can arise when clearing through a CCP. Explain the interconnections between central counterparties and other financial institutions, including banks, clearing members, financial markets, and...
    Learning objectives: Describe the benefits of central counterparties (CCPs) and the potential risks which can arise when clearing through a CCP. Explain the interconnections between central...
    Replies:
    0
    Views:
    361
  20. Nicole Seaman

    P2.T9.605. Reforming LIBOR and other financial market benchmarks

    Learning objectives: Discuss the recommended principles to make benchmark rates such as LIBOR and other interbank offered rates less susceptible to manipulation. Evaluate the implications, advantages, and disadvantages of using benchmarks. Assess the types of agglomeration effects after a benchmark has been established. Explain the motives for manipulating benchmarks and describe the processes...
    Learning objectives: Discuss the recommended principles to make benchmark rates such as LIBOR and other interbank offered rates less susceptible to manipulation. Evaluate the implications, advantages, and disadvantages of using benchmarks. Assess the types of agglomeration effects after a benchmark has been established. Explain the motives for manipulating benchmarks and describe the processes...
    Learning objectives: Discuss the recommended principles to make benchmark rates such as LIBOR and other interbank offered rates less susceptible to manipulation. Evaluate the implications, advantages, and disadvantages of using benchmarks. Assess the types of agglomeration effects after a...
    Learning objectives: Discuss the recommended principles to make benchmark rates such as LIBOR and other interbank offered rates less susceptible to manipulation. Evaluate the implications,...
    Replies:
    0
    Views:
    288
  21. Nicole Seaman

    P2.T9.604. Global trends in market liquidity

    Learning outcomes: Describe current global trends and factors which have impacted liquidity in financial markets and explain their liquidity impact. Summarize trends over the past 10 years in the volume and liquidity of the following financial markets: interest rates and interest rate derivatives, sovereign bonds, repos, corporate bonds, CDS, securitized products, foreign exchange, equities,...
    Learning outcomes: Describe current global trends and factors which have impacted liquidity in financial markets and explain their liquidity impact. Summarize trends over the past 10 years in the volume and liquidity of the following financial markets: interest rates and interest rate derivatives, sovereign bonds, repos, corporate bonds, CDS, securitized products, foreign exchange, equities,...
    Learning outcomes: Describe current global trends and factors which have impacted liquidity in financial markets and explain their liquidity impact. Summarize trends over the past 10 years in the volume and liquidity of the following financial markets: interest rates and interest rate...
    Learning outcomes: Describe current global trends and factors which have impacted liquidity in financial markets and explain their liquidity impact. Summarize trends over the past 10 years in the...
    Replies:
    0
    Views:
    257
  22. David Harper CFA FRM

    P2.T9.603. Market liquidity and its dimensions

    Learning objectives: Define liquidity and describe the dimensions by which liquidity can be measured. Explain how liquidity is provided in different financial markets, including the role of market makers and the economics of market making. Questions: 603.1. In PwC's Global Financial Markets Liquidity study (August 2015), the concept liquidity is given the following introduction and...
    Learning objectives: Define liquidity and describe the dimensions by which liquidity can be measured. Explain how liquidity is provided in different financial markets, including the role of market makers and the economics of market making. Questions: 603.1. In PwC's Global Financial Markets Liquidity study (August 2015), the concept liquidity is given the following introduction and...
    Learning objectives: Define liquidity and describe the dimensions by which liquidity can be measured. Explain how liquidity is provided in different financial markets, including the role of market makers and the economics of market making. Questions: 603.1. In PwC's Global Financial Markets...
    Learning objectives: Define liquidity and describe the dimensions by which liquidity can be measured. Explain how liquidity is provided in different financial markets, including the role of market...
    Replies:
    0
    Views:
    287
  23. Nicole Seaman

    P2.T9.602. Liquidity regulation and lender of last resort

    Learning objectives: Compare the advantages and disadvantages of liquidity regulations and a lender of last resort in managing liquidity and systemic risk during a financial crisis, and identify situations where each is more effective. Explain how the existence of a lender of last resort can create moral hazard. Describe situations where a central bank should begin lending to banks before...
    Learning objectives: Compare the advantages and disadvantages of liquidity regulations and a lender of last resort in managing liquidity and systemic risk during a financial crisis, and identify situations where each is more effective. Explain how the existence of a lender of last resort can create moral hazard. Describe situations where a central bank should begin lending to banks before...
    Learning objectives: Compare the advantages and disadvantages of liquidity regulations and a lender of last resort in managing liquidity and systemic risk during a financial crisis, and identify situations where each is more effective. Explain how the existence of a lender of last resort can...
    Learning objectives: Compare the advantages and disadvantages of liquidity regulations and a lender of last resort in managing liquidity and systemic risk during a financial crisis, and identify...
    Replies:
    0
    Views:
    260
  24. Nicole Seaman

    P2.T9.601. Case Studies on Disruption During the Crisis (Yorulmazer)

    Learning objectives: Understand the use and purpose of funding mechanisms and describe the distress in the markets during the recent credit crisis. Distinguish between Commercial Paper and Asset-Backed Commercial Paper and describe the policy responses to recent market collapses. Compare and contrast sources of disruption in the money market mutual funds, repo markets, and credit commitments....
    Learning objectives: Understand the use and purpose of funding mechanisms and describe the distress in the markets during the recent credit crisis. Distinguish between Commercial Paper and Asset-Backed Commercial Paper and describe the policy responses to recent market collapses. Compare and contrast sources of disruption in the money market mutual funds, repo markets, and credit commitments....
    Learning objectives: Understand the use and purpose of funding mechanisms and describe the distress in the markets during the recent credit crisis. Distinguish between Commercial Paper and Asset-Backed Commercial Paper and describe the policy responses to recent market collapses. Compare and...
    Learning objectives: Understand the use and purpose of funding mechanisms and describe the distress in the markets during the recent credit crisis. Distinguish between Commercial Paper and...
    Replies:
    0
    Views:
    321
  25. Nicole Seaman

    P1.T1.610. Risk-adjusted performance measures (Topic Review)

    Questions: 610.1. Over a historical period, the broad market index had an excess return of 7.0% with volatility, σ(M), of 20.0%. Please note "excess return" refers to the return in excess of the riskfree rate. Over the same period, the excess returns of a portfolio were regressed against the market index. Where Rf signifies the riskfree rate, the regression result is given by E[R(p) - Rf] =...
    Questions: 610.1. Over a historical period, the broad market index had an excess return of 7.0% with volatility, σ(M), of 20.0%. Please note "excess return" refers to the return in excess of the riskfree rate. Over the same period, the excess returns of a portfolio were regressed against the market index. Where Rf signifies the riskfree rate, the regression result is given by E[R(p) - Rf] =...
    Questions: 610.1. Over a historical period, the broad market index had an excess return of 7.0% with volatility, σ(M), of 20.0%. Please note "excess return" refers to the return in excess of the riskfree rate. Over the same period, the excess returns of a portfolio were regressed against the...
    Questions: 610.1. Over a historical period, the broad market index had an excess return of 7.0% with volatility, σ(M), of 20.0%. Please note "excess return" refers to the return in excess of the...
    Replies:
    0
    Views:
    269
  26. David Harper CFA FRM

    P2.T9.600. Forging Best Practices in Risk Management (Glasserman)

    Learning objectives: Identify the areas of risk management that have been most affected by the recent financial crisis and describe the major trends and developments brought on by the crisis. Evaluate the presence of volatility regimes in market data. Analyze the implications of multiple firms attempting to take the same risk-mitigating steps. Describe the implications of risk-mitigation...
    Learning objectives: Identify the areas of risk management that have been most affected by the recent financial crisis and describe the major trends and developments brought on by the crisis. Evaluate the presence of volatility regimes in market data. Analyze the implications of multiple firms attempting to take the same risk-mitigating steps. Describe the implications of risk-mitigation...
    Learning objectives: Identify the areas of risk management that have been most affected by the recent financial crisis and describe the major trends and developments brought on by the crisis. Evaluate the presence of volatility regimes in market data. Analyze the implications of multiple firms...
    Learning objectives: Identify the areas of risk management that have been most affected by the recent financial crisis and describe the major trends and developments brought on by the crisis....
    Replies:
    0
    Views:
    183
  27. Nicole Seaman

    P1.T1.609. Capital asset pricing model (CAPM) (Topic Review)

    Questions: 609.1. Peter is evaluating the expected performance of two common stocks, Kintech and Zimit. He has gathered the following information: The riskfree rate is 1.0% The volatility of the market portfolio, σ(M), is 30.0% and its expected return, E(M), is 8.0%; i.e., its expected excess return is 7.0%. With respect to Kintech (k), the correlation between Kintech and the market...
    Questions: 609.1. Peter is evaluating the expected performance of two common stocks, Kintech and Zimit. He has gathered the following information: The riskfree rate is 1.0% The volatility of the market portfolio, σ(M), is 30.0% and its expected return, E(M), is 8.0%; i.e., its expected excess return is 7.0%. With respect to Kintech (k), the correlation between Kintech and the market...
    Questions: 609.1. Peter is evaluating the expected performance of two common stocks, Kintech and Zimit. He has gathered the following information: The riskfree rate is 1.0% The volatility of the market portfolio, σ(M), is 30.0% and its expected return, E(M), is 8.0%; i.e., its expected excess...
    Questions: 609.1. Peter is evaluating the expected performance of two common stocks, Kintech and Zimit. He has gathered the following information: The riskfree rate is 1.0% The volatility of...
    Replies:
    0
    Views:
    404
  28. Nicole Seaman

    P2.T7.609. Fundamental Review of the Trading Book: expected shortfall and credit trades (Hull)

    Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons. Explain proposed modifications to Basel regulations in the following areas: classification of positions in the trading book compared to the banking book and treatment of credit spread and...
    Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons. Explain proposed modifications to Basel regulations in the following areas: classification of positions in the trading book compared to the banking book and treatment of credit spread and...
    Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons. Explain proposed modifications to Basel regulations in the following areas: classification of...
    Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons....
    Replies:
    0
    Views:
    377
  29. Nicole Seaman

    P1.T1.608. Financial disasters & risk management failures: Bankers Trust, JPMorgan, and Enron

    Questions: 608.1. Consider two very different financial disasters the both happened in 1994: Proctor & Gamble's (P&G's) $150+ million loss and a much bigger loss by the city of Orange County. In the case of Orange County, a $1.5 billion investment loss forced the city to file bankruptcy in December 1994. Until Jefferson County went bankrupt seventeen years later in 2001, this had been the...
    Questions: 608.1. Consider two very different financial disasters the both happened in 1994: Proctor & Gamble's (P&G's) $150+ million loss and a much bigger loss by the city of Orange County. In the case of Orange County, a $1.5 billion investment loss forced the city to file bankruptcy in December 1994. Until Jefferson County went bankrupt seventeen years later in 2001, this had been the...
    Questions: 608.1. Consider two very different financial disasters the both happened in 1994: Proctor & Gamble's (P&G's) $150+ million loss and a much bigger loss by the city of Orange County. In the case of Orange County, a $1.5 billion investment loss forced the city to file bankruptcy in...
    Questions: 608.1. Consider two very different financial disasters the both happened in 1994: Proctor & Gamble's (P&G's) $150+ million loss and a much bigger loss by the city of Orange County. In...
    Replies:
    0
    Views:
    319
  30. David Harper CFA FRM

    P2.T7.608. Fundamental Review of the Trading Book (Hull)

    Learning objective: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method. Questions: 608.1 In January 2016 the Basel Committee on Banking Supervision (BCBS) issued its Revised Framework for Market risk Capital Requirements which is also called the Fundamental Review of the...
    Learning objective: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method. Questions: 608.1 In January 2016 the Basel Committee on Banking Supervision (BCBS) issued its Revised Framework for Market risk Capital Requirements which is also called the Fundamental Review of the...
    Learning objective: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method. Questions: 608.1 In January 2016 the Basel Committee on Banking Supervision (BCBS) issued its Revised...
    Learning objective: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this...
    Replies:
    0
    Views:
    385

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